Confidence sets in nonparametric calibration of exponential Lévy models

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Confidence sets in nonparametric calibration of exponential Lévy models

Journal Article (2014)

Author(s)

Jakob Söhl (University of Cambridge)

Affiliation

External organisation

Confidence sets Asymptotic normality Jump diffusion Nonlinear inverse problem European option

DOI related publication

https://doi.org/10.1007/s00780-014-0228-9 Final published version

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

Downloads counter

111

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.