Nonparametric implied Lévy densities (Q666590)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonparametric implied Lévy densities |
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Nonparametric implied Lévy densities (English)
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6 March 2019
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The authors develop a nonparametric estimator for the Lévy density of an asset price following an Itô semimartingale. They study the asymptotic behaviour of this estimator as the time to maturity of the available options decreases and the mesh of available strike grid shrinks and the strike range expands.
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Lévy density
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nonparametric density estimation
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