paper
Confidence sets in nonparametric calibration of exponential Lévy models
Jakob Söhl
Confidence sets in nonparametric calibration of exponential Lévy models
Jakob Söhl
paper2012-02-29English
quantitative financearxiv
Description
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.
Similar Books
paper
Quantitative mode stability for the wave equation on the Kerr-Newman spacetime
Damon Civin
Quantitative mode stability for the wave equation on the Kerr-Newman spacetime
paper
Risk-Aware Objective-Based Forecasting in Inertia Management
Haipeng Zhang, Ran Li, Yan Chen, Zhongda Chu, Mingyang Sun
Risk-Aware Objective-Based Forecasting in Inertia Management
paper
Chainalysis: Geography of Cryptocurrency 2023
Chainalysis
Chainalysis: Geography of Cryptocurrency 2023
paper
Periodicity in Cryptocurrency Volatility and Liquidity
Peter Reinhard Hansen, Chan Kim, Wade Kimbrough
Periodicity in Cryptocurrency Volatility and Liquidity
paper
Impact of Geometric Uncertainty on the Computation of Abdominal Aortic Aneurysm Wall Strain
Saeideh Sekhavat, Mostafa Jamshidian, Adam Wittek, Karol Miller
Impact of Geometric Uncertainty on the Computation of Abdominal Aortic Aneurysm Wall Strain
paper
Simulation-based Bayesian inference with ameliorative learned summary statistics -- Part I
Getachew K. Befekadu
Simulation-based Bayesian inference with ameliorative learned summary statistics -- Part I