Nonparametric implied Lévy densities
DOI10.1214/18-AOS1703zbMATH Open1419.62213MaRDI QIDQ666590FDOQ666590
Authors: Likuan Qin, Viktor Todorov 
Publication date: 6 March 2019
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1547197247
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Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalizations of martingales (60G48)
Cites Work
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Title not available (Why is that?)
- Option pricing when underlying stock returns are discontinuous
- Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
- Small-Time Asymptotics of Option Prices and First Absolute Moments
- Nonparametric estimation for Lévy processes from low-frequency observations
- Discretization of processes.
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- Lévy matters IV. Estimation for discretely observed Lévy processes
- Statistical inference for time-changed Lévy processes via composite characteristic function estimation
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
- Optimal positioning in derivative securities
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
- Estimation for Lévy processes from high frequency data within a long time interval
- Nonparametric estimation for pure jump Lévy processes based on high frequency data
- Forward equations for option prices in semimartingale models
- Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Calibration of self-decomposable Lévy models
- Confidence sets in nonparametric calibration of exponential Lévy models
- Spectral calibration of exponential Lévy models
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Quantile estimation for Lévy measures
- High-frequency Donsker theorems for Lévy measures
- Spectral estimation of the Lévy density in partially observed affine models
- Nonparametric implied Lévy densities
Cited In (12)
- Spatial dependence in option observation errors
- On extracting information implied in options
- Nonparametric implied Lévy densities
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
- A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein-Uhlenbeck process
- Bivariate nonparametric density estimation of stock prices and volume
- Nonparametric spot volatility from options
- Nonparametric jump variation measures from options
- Confidence sets in nonparametric calibration of exponential Lévy models
- Spectral calibration of exponential Lévy models
- Testing and inference for fixed times of discontinuity in semimartingales
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
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