Confidence sets in nonparametric calibration of exponential Lévy models
Journal Article
(2014)
Author(s)
J. Söhl (University of Cambridge)
Affiliation
External organisation
DOI related publication
https://doi.org/10.1007/s00780-014-0228-9
To reference this document use:
https://resolver.tudelft.nl/uuid:c32614a3-04fc-400c-894d-20f1ad46d4e8
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Publication Year
2014
Language
English
Affiliation
External organisation
Issue number
3
Volume number
18
Pages (from-to)
617-649
Abstract
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. To this end, we show joint asymptotic normality in the spectral calibration method for the estimators of the volatility, the drift, the jump intensity and the Lévy density at finitely many points.
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