Arbeitspapier
Spectral calibration of exponential Lévy
We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit inversion of option price formula in the spectral domain and a cut-off scheme for high frequencies as regularisation.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2006,034
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Semiparametric and Nonparametric Methods: General
- Thema
-
European option
jump diffusion
minimax rates
severely ill-posed
nonlinear inverse problem
spectral cut-off
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Belomestny, Denis
Reiß, Markus
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Belomestny, Denis
- Reiß, Markus
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2006
Ähnliche Objekte (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
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
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
Spectral estimation of the fractional order of a Lévy process
Evaluating exponential GARCH models
Strategic Experimentation with Exponential Bandits
Calibration in Macroeconomics