Spectral calibration of exponential Lévy Models [1]

We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit inversion of the option price formula in the spectral domain and a cut-off scheme for high frequencies as regularisation.

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Year of publication:	2006-04-27
Authors:	Belomestny, Denis ; Reiß, Markus
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Optionspreistheorie \| Aktienoption \| Diffusion <Wirtschaft>

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Extent:	530432 bytes 28 p. application/pdf
Series:	Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere Diskussionspapier ; 2006-034
Type of publication:	Book / Working Paper
Language:	English
ISSN:	1860-5664
Classification:	C14 - Semiparametric and Nonparametric Methods ; G13 - Contingent Pricing; Futures Pricing ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005861424