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Confidence sets in nonparametric calibration of exponential Lévy models

Finance and Stochastics (Fin. Stoch.), 2012
Abstract

Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential L\évy models based on prices of European options. To this end, we show joint asymptotic normality in the spectral calibration method for the estimators of the volatility, the drift, the jump intensity and the L\évy density at finitely many points.

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