Nonparametric implied Lévy densities
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Publication:666590
DOI10.1214/18-AOS1703zbMath1419.62213MaRDI QIDQ666590
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) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Generalizations of martingales (60G48)
Related Items (7)
Nonparametric jump variation measures from options ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ 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
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