Nonparametric implied Lévy densities (Q666590)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 7033160
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Nonparametric implied Lévy densities |
scientific article; zbMATH DE number 7033160 |
Statements
Nonparametric implied Lévy densities (English)
0 references
6 March 2019
0 references
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.
0 references
Lévy density
0 references
nonparametric density estimation
0 references
0 references
0 references
0 references
0 references
0.90191275
0 references
0.89391035
0 references
0.8906886
0 references
0.8851078
0 references
0.88194114
0 references
0.8812264
0 references
0.87730217
0 references
0 references
