On the calibration of local jump-diffusion asset price models

S. Kindermann () and P. Mayer ()

Finance and Stochastics, 2011, vol. 15, issue 4, 685-724

Keywords: Local Lévy model; Jump diffusion processes; Ill-posed problem; Robust calibration; Inverse problem; Tikhonov regularization; 35R09; 60H10; 60H30; 65J22; 91B70; 91G60; C60; G13 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00780-011-0159-7 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:15:y:2011:i:4:p:685-724

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

DOI: 10.1007/s00780-011-0159-7

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().