Spectral calibration of exponential Levy models ??
25
References
Alt-Sahaiia, Y., and J. Duarte (2003): “Nonparametric option pricing under
shape restrictions.,” J. Econom., 116(1-2), 9-47.
Alt-Sahaiia, Y., and J. Jacod (2004): “Fisher’s information for discretely
sampled Levy processes,” Prepublication 950, Laboratoire de Probabilites et
Modeles Aleatoires, Paris.
Beiomestny, D., and M. ReiSS (2005): “Optimal calibration of exponential
Levy models,” Preprint 1017, Weierstraβ Institute (WIAS) Berlin.
------ (2006): “Implementation Supplement to Spectral calibration of exponen-
tial Levy processes,” Technical report, to appear, Weierstraβ Institute (WIAS)
Berlin.
Breeden, D., and R. Litzenberger (1978): “Prices of State-Contingent Claims
Implicit in Options Prices,” J. Business, 51(4), 621-651.
Brown, L. D., and M. G. Low (1996): “Asymptotic equivalence of nonpara-
metric regression and white noise.,” Ann. Stat., 24(6), 2384-2398.
Butucea, C., and C. Matias (2005): “Minimax estimation of the noise level and
of the deconvolution density in a semiparametric convolution model,” Bernoulli,
11(2), 309-340.
Carr, P., H. Geman, D. B. Madan, and M. Yor (2002): “The Fine Structure
of Asset Returns: An Empirical Investigation,” J. Business, 75(2), 305-332.
Carr, P., and D. Madan (1999): “Option valuation using the fast Fourier trans-
form,” J. Comput. Finance, 2, 61-73.
Cont, R., and P. Tankov (2004a): Financial modelling with jump processes,
Financial Mathematics Series. Chapman & Hall/CRC, Boca Raton.
------- (2004b): “Nonparametric calibration of jump-diffusion option pricing
models,” Journal of Computational Finance, 7(3), 1-49.
Cont, R., and P. Tankov (2005): “Retrieving Levy processes from option prices:
regularization of an ill-posed inverse problem,” SIAM J. Num. Opt. Control, to
appear.
Cont, R., and E. Voitchkova (2005): “Integro-differential equations for option
prices in exponential Levy models,” Finance Stoch., 9(3), 299-325.
Crepey, S. (2003): “Calibration of the local volatility in a generalized Black-
Scholes model using Tikhonov regularization.,” SIAM J. Math. Anal., 34(5),
1183-1206.
Duffie, D., D. Fiiipovic, and W. Schachermayer (2003): “Affine processes
and applications in finance.,” Ann. Appl. Probab., 13(3), 984-1053.
Eberiein, E., U. Keiier, and K. Prause (1998): “New insights into smile,
mispricing, and value at risk: the hyperbolic model,” Journal of Business, 71(3),
371-405.
Emmer, S., and C. Klijppeiberg (2004): “Optimal portfolios when stock prices
follow an exponential Levy process,” Finance Stoch., 8(1), 17-44.
Fengier, M. (2005): Semiparametric Modeling of Implied Volatility. Springer
Finance Series.
Goidenshiuger, A., A. Tsybakov, and A. Zeevi (2005): “Optimal change-
point estimation from indirect observations,” Ann. Stat., to appear.
Jackson, N., E. Sujii, and S. Howison (1999): “Computation of deterministic
volatility surfaces,” Journal Comp. Finance, 2(2), 5-32.
Kaiisen, J. (2000): “Optimal portfolios for exponential Levy processes,” Math.
Meth. Operations Res., 51(3), 357-374.
Korosteiev, A., and A. Tsybakov (1993): Minimax theory of image recon-
struction. Lecture Notes in Statistics (Springer). 82. New York: Springer-Verlag.
Kou, S. (2002): “A jump diffusion model for option pricing,” Management Sci-
ence, 48(4), 1086-1101.
Merton, R. (1976): “Option Pricing When Underlying Stock Returns Are Dis-
continuous,” J. Financial Economics, 3(1).
Mordecki, E. (2002): “Optimal stopping and perpetual options for Levy pro-
cesses.,” Finance Stoch., 6(4), 473-493.
More intriguing information
1. What Lessons for Economic Development Can We Draw from the Champagne Fairs?2. FASTER TRAINING IN NONLINEAR ICA USING MISEP
3. The name is absent
4. The economic doctrines in the wine trade and wine production sectors: the case of Bastiat and the Port wine sector: 1850-1908
5. The name is absent
6. The name is absent
7. The name is absent
8. DEMAND FOR MEAT AND FISH PRODUCTS IN KOREA
9. On the Existence of the Moments of the Asymptotic Trace Statistic
10. Optimal Private and Public Harvesting under Spatial and Temporal Interdependence