Confidence sets in nonparametric calibration of exponential L\'evy models

Jakob S\"ohl

Papers from arXiv.org

Abstract: Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential L\'evy 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 L\'evy density at finitely many points.

Date: 2012-02, Revised 2013-09
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Published in Finance Stoch. 18 (2014) 617-649

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1202.6611

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