Spectral calibration of exponential Lévy Models [1]

SFB 649 Discussion Paper 2006-034

Spectral calibration of
exponential Lévy
Models [1]

Denis Belomestny*

Markus Reiβ**

* Weierstrass Institute for Applied Analysis and Stochastics,
Berlin, Germany

** Institute of Applied Mathematics, Ruprecht-Karls-Universitat
Heidelberg, Germany

This research was supported by the Deutsche
Forschungsgemeinschaft through the SFB 649 "Economic Risk".

http://sfb649.wiwi.hu-berlin.de
ISSN 1860-5664

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