Nonparametric implied Lévy densities
DOI10.1214/18-AOS1703zbMATH Open1419.62213MaRDI QIDQ666590FDOQ666590
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
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
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- Nonparametric implied Lévy densities
Cited In (7)
- Nonparametric implied Lévy densities
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
- Nonparametric spot volatility from options
- SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS
- Nonparametric jump variation measures from options
- 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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