Confidence sets in nonparametric calibration of exponential Lévy models
Confidence sets in nonparametric calibration of exponential Lévy models
复制标题
指数 Lévy 模型非参数校准中的置信集
作者：
Jakob Söhl
基于欧式期权价格构造了指数Lévy模型非参数校准的置信区间和联合置信集。为此，我们在谱校准方法中证明了波动率，漂移，跳跃强度和Lévy密度在100多个点的估计的联合渐近正态性。
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.