Confidence sets in nonparametric calibration of exponential Lévy models

Abstract

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.

to appear in Finance and Stochastics

References in corpus (6)

• Spectral estimation of the fractional order of a Lévy process
• Asymptotic Equivalence for Nonparametric Regression
• Calibration of self-decomposable Lévy models
• Sieve-based confidence intervals and bands for Lévy densities
• Option calibration of exponential Lévy models: Confidence intervals and empirical results
• Polar sets of anisotropic Gaussian random fields

Cited by in corpus (3)

• Calibration of self-decomposable Lévy models
• Efficient nonparametric inference for discretely observed compound Poisson processes
• Quantile estimation for Lévy measures