Confidence sets in nonparametric calibration of exponential Lévy models

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6 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)617-649
Number of pages33
JournalFinance and Stochastics
Volume18
Issue number3
DOIs
Publication statusPublished - 2014
Externally publishedYes

Keywords

  • Asymptotic normality
  • Confidence sets
  • European option
  • Jump diffusion
  • Nonlinear inverse problem

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