Arbeitspapier
Calibration of self-decomposable Lévy models
We study the nonparametric calibration of exponential, self-decomposable Lévy models whose jump density can be characterized by the k-function, which is typically nonsmooth at zero. On the one hand the estimation of the drift, the activity measure a := k(0+) + k(0-) and analog parameters for the derivatives are considered and on the other hand we estimate the k-function outside of a neighborhood of zero. Minimax convergence rates are derived, which depend on a. Therefore, we construct estimators adapting to this unknown parameter. Our estimation method is based on spectral representations of the observed option prices and on regularization by cutting off high frequencies. Finally, the procedure is applied to simulations and real data.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2011-073
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
adaptation
European option
infinite activity jump process
minimax rates
non linear inverse problem
self-decomposability.
Optionspreistheorie
Stochastischer Prozess
Nichtparametrisches Verfahren
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Trabs, Mathias
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Trabs, Mathias
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2011
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