Confidence sets in nonparametric calibration of exponential Lévy models

Jakob Söhl ()

Finance and Stochastics, 2014, vol. 18, issue 3, 617-649

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. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: European option; Jump diffusion; Confidence sets; Asymptotic normality; Nonlinear inverse problem; 60G51; 62G15; 91G70; C14; G13 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s00780-014-0228-9

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