Resource title

Spectral calibration of exponential Lévy

Resource image

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Resource description

We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit inversion of option price formula in the spectral domain and a cut-off scheme for high frequencies as regularisation.

Resource author

Denis Belomestny, Markus Reiß

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25125

Resource license

Adapt according to the presented license agreement and reference the original author.