Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25125
Authors: 
Belomestny, Denis
Reiß, Markus
Year of Publication: 
2006
Series/Report no.: 
SFB 649 discussion paper 2006,034
Abstract: 
We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit inversion of option price formula in the spectral domain and a cut-off scheme for high frequencies as regularisation.
Subjects: 
European option
jump diffusion
minimax rates
severely ill-posed
nonlinear inverse problem
spectral cut-off
JEL: 
G13
C14
Document Type: 
Working Paper

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