Spectral calibration of exponential Lévy models

Denis Belomestny and Markus Reiss

Finance and Stochastics, 2006, vol. 10, issue 4, 449-474

Keywords: European option; Jump diffusion; Minimax rates; Severely ill-posed; Nonlinear inverse problem; Spectral cut-off; 60G51; 62G20; 91B28; G13; C14 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s00780-006-0021-5

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