Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56680
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dc.contributor.authorTrabs, Mathiasen_US
dc.date.accessioned2011-11-29en_US
dc.date.accessioned2012-04-05T16:16:04Z-
dc.date.available2012-04-05T16:16:04Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/56680-
dc.description.abstractWe study the nonparametric calibration of exponential, self-decomposable Lévy models whose jump density can be characterized by the k-function, which is typically nonsmooth at zero. On the one hand the estimation of the drift, the activity measure a := k(0+) + k(0-) and analog parameters for the derivatives are considered and on the other hand we estimate the k-function outside of a neighborhood of zero. Minimax convergence rates are derived, which depend on a. Therefore, we construct estimators adapting to this unknown parameter. Our estimation method is based on spectral representations of the observed option prices and on regularization by cutting off high frequencies. Finally, the procedure is applied to simulations and real data.en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk |cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper |x2011-073en_US
dc.subject.jelC14en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordadaptationen_US
dc.subject.keywordEuropean optionen_US
dc.subject.keywordinfinite activity jump processen_US
dc.subject.keywordminimax ratesen_US
dc.subject.keywordnon linear inverse problemen_US
dc.subject.keywordself-decomposability.en_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwNichtparametrisches Verfahrenen_US
dc.subject.stwTheorieen_US
dc.titleCalibration of self-decomposable Lévy modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn675459400en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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