Economy – Quantitative Finance – Statistical Finance
Scientific paper
2012-02-29
Economy
Quantitative Finance
Statistical Finance
44 pages, 1 figure
Scientific paper
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential L\'evy models based on prices of European options. This is done by showing joint asymptotic normality for the estimation of the volatility, the drift, the intensity and the L\'evy density at finitely many points in the spectral calibration method. Furthermore, the asymptotic normality result leads to a test on the value of the volatility in exponential L\'evy models.
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