Calibration of self-decomposable Lévy models
Work
Year: 2014
Type: article
Abstract: We study the nonparametric calibration of exponential Lévy models with infinite jump activity. In particular our analysis applies to self-decomposable processes whose jump density can be characterized... more
Source: Bernoulli
Author Mathias Trabs
Institution Humboldt-Universität zu Berlin
Cites: 35
Cited by: 27
Related to: 10
FWCI: 3.995
Citation percentile (by year/subfield): 86.85
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid