Option calibration of exponential Lévy models: Implementation and empirical results
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References listed on IDEAS
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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.
- Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers 2006-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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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.
- Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [2]," SFB 649 Discussion Papers 2006-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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Cited by:
- Jakob Sohl, 2012. "Confidence sets in nonparametric calibration of exponential L\'evy models," Papers 1202.6611, arXiv.org, revised Sep 2013.
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More about this item
Keywords
European option; jump diffusion; self-decomposability; confidence sets; nonlinear inverse problem; spectral cut-off;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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