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Confidence sets in nonparametric calibration of exponential Lévy models · Study

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ArticleConfidence sets in nonparametric calibration of exponential Lévy models

Jakob Söhl2014

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Articlegreen2014

Confidence sets in nonparametric calibration of exponential Lévy models

22 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1921Risk, Uncertainty and Profit 1961Risk, Ambiguity, and the Savage Axioms 1976Option pricing when underlying stock returns are discontinuous 2003Financial Modelling with Jump Processes 2003Limit Theorems for Stochastic Processes 1999Option valuation using the fast Fourier transform 1998Efficient estimation of conditional variance functions in stochastic regression 2004Financial Modelling with Jump Processes

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2012Correlated Trades and Herd Behavior in the Stock Market 2013Testing the characteristics of a Lévy process 2017Efficient nonparametric inference for discretely observed compound Poisson processes

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Year2014

Typearticle

Published2014-03-27

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-014-0228-9

openalex_workW2166234462

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