Calibration of self-decomposable Lévy models

DOI10.3150/12-BEJ478zbMath1285.62101arXiv1111.1067OpenAlexW3104397037MaRDI QIDQ2444660

Mathias Trabs

Publication date: 10 April 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.1067

zbMATH Keywords

adaptationnonlinear inverse problemsEuropean optionsminimax ratesinfinite activity jump processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

Related Items (15)

Nonparametric jump variation measures from options ⋮ Statistical inference for generalized Ornstein-Uhlenbeck processes ⋮ Which Urbanik class \(L_k\), do the hyperbolic and the generalized logistic characteristic functions belong to? ⋮ Information bounds for inverse problems with application to deconvolution and Lévy models ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ Calibration of self-decomposable Lévy models ⋮ Confidence sets in nonparametric calibration of exponential Lévy models ⋮ On infinitely divisible distributions with polynomially decaying characteristic functions ⋮ Nonparametric implied Lévy densities ⋮ Quantile estimation for Lévy measures ⋮ Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options ⋮ Estimation and Calibration of Lévy Models via Fourier Methods ⋮ Adaptation to lowest density regions with application to support recovery ⋮ Nonparametric spot volatility from options ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations

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