Confidence sets in nonparametric calibration of exponential Lévy models
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Publication:457186
DOI10.1007/s00780-014-0228-9zbMath1353.60047arXiv1202.6611OpenAlexW2166234462MaRDI QIDQ457186
Publication date: 26 September 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.6611
Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Nonparametric tolerance and confidence regions (62G15)
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