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.

Language: Englisch

Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2006,034

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

Subject: European option
jump diffusion
minimax rates
severely ill-posed
nonlinear inverse problem
spectral cut-off

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/10419/25125

Last update: 10.03.2025, 11:43 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

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