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arXiv · 1202.6611

Confidence sets in nonparametric calibration of exponential Lévy models

Jakob Söhl
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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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BibTeXRIS

Jakob Söhl. 2013-09-19. Confidence sets in nonparametric calibration of exponential Lévy models. https://doi.org/10.1007/s00780-014-0228-9

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