Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56624
Authors: 
Söhl, Jakob
Trabs, Mathias
Year of Publication: 
2012
Series/Report no.: 
SFB 649 discussion paper 2012-017
Abstract: 
Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self-decomposable Lévy models and improve these methods. Confidence intervals are constructed for the estimators in the finite activity case. They allow inference on the behavior of the parameters when the option prices are observed in a sequence of trading days. We compare the performance of the procedures for finite and infinite jump activity based on real option data.
Subjects: 
European option
jump diffusion
self-decomposability
confidence sets
nonlinear inverse problem
spectral cut-off
JEL: 
C14
G13
Document Type: 
Working Paper

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