Spectral calibration of exponential Lévy Models [1]
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- Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
References listed on IDEAS
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More about this item
Keywords
European option; jump diffusion; minimax rates; severely ill-posed; nonlinear inverse problem; spectral cut-off;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-05-13 (Finance)
- NEP-FMK-2006-05-13 (Financial Markets)
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