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Quantitative Finance 2012
Confidence sets in nonparametric calibration of exponential Lévy modelsAbstract: Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential L\'evy models based on prices of European options. To this end, we show joint asymptotic normality in the spectral calibration method for the estimators of the volatility, the drift, the jump intensity and the L\'evy density at finitely many points.
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