Confidence sets in nonparametric calibration of exponential Lévy models
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More about this item
Keywords
European option; jump diffusion; confidence sets; asymptotic normality; nonlinear inverse problem;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-ETS-2012-03-08 (Econometric Time Series)
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