Confidence sets in nonparametric calibration of exponential L\'evy models
Statistical Finance
2020-05-26 v2 Statistics Theory
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1202.6611,
title = {Confidence sets in nonparametric calibration of exponential L\'evy models},
author = {Jakob Söhl},
journal= {arXiv preprint arXiv:1202.6611},
year = {2020}
}
Comments
to appear in Finance and Stochastics