Option calibration of exponential Lévy models: Implementation and empirical results
Year of publication: |
2012
|
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Authors: | Söhl, Jakob ; Trabs, Mathias |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Optionspreistheorie | Stochastischer Prozess | Schätztheorie | Nichtlineares Verfahren | Theorie | Schätzung | Deutschland | European option | jump diffusion | self-decomposability | confidence sets | nonlinear inverse problem | spectral cut-off |
Series: | SFB 649 Discussion Paper ; 2012-017 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 687786886 [GVK] hdl:10419/56624 [Handle] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; G13 - Contingent Pricing; Futures Pricing |
Source: |
-
Option calibration of exponential Lévy models: Implementation and empirical results
Söhl, Jacob, (2012)
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Confidence sets in nonparametric calibration of exponential Lévy models
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A uniform central limit theorem and efficiency for deconvolution estimators
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Option calibration of exponential Lévy models : implementation and empirical results
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