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Spectral calibration of exponential Lévy

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Language: Englisch

Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2006,035

Classification: Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Semiparametric and Nonparametric Methods: General

Event: Geistige Schöpfung

(who): Belomestny, Denis
Reiß, Markus

Event: Veröffentlichung

(who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

(where): Berlin

(when): 2006

Handle: http://hdl.handle.net/10419/25126

Last update: 10.03.2025, 11:42 AM CET

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Object type

Arbeitspapier

Associated

Belomestny, Denis
Reiß, Markus
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

Time of origin

2006

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Spectral calibration of exponential Lévy

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Other Objects (12)

Spectral calibration of exponential Lévy

Spectral calibration of exponential Lévy Models [2]

Spectral calibration of exponential Lévy Models [1]

Confidence sets in nonparametric calibration of exponential Lévy models

Option calibration of exponential Lévy models: Implementation and empirical results

Calibration of self-decomposable Lévy models

Confidence sets in nonparametric calibration of exponential Lévy models

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Evaluating exponential GARCH models

Strategic Experimentation with Exponential Bandits

Calibration in Macroeconomics

A Class of Exponential Penalty Functions

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Spectral calibration of exponential Lévy Models [1]

Confidence sets in nonparametric calibration of exponential Lévy models

Option calibration of exponential Lévy models: Implementation and empirical results

Calibration of self-decomposable Lévy models

Confidence sets in nonparametric calibration of exponential Lévy models

Spectral estimation of the fractional order of a Lévy process

Evaluating exponential GARCH models

Strategic Experimentation with Exponential Bandits

Calibration in Macroeconomics

A Class of Exponential Penalty Functions

Spectral calibration of exponential Lévy

Spectral calibration of exponential Lévy Models [2]

Spectral calibration of exponential Lévy Models [1]

Confidence sets in nonparametric calibration of exponential Lévy models

Option calibration of exponential Lévy models: Implementation and empirical results

Calibration of self-decomposable Lévy models

Confidence sets in nonparametric calibration of exponential Lévy models

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Evaluating exponential GARCH models

Strategic Experimentation with Exponential Bandits

Calibration in Macroeconomics

A Class of Exponential Penalty Functions

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