Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential L\'evy models based on prices of European options. This is done by showing joint asymptotic normality for the estimation of the volatility, the drift, the  intensity and the L\'evy density at finitely many points in the spectral calibration method. Furthermore, the asymptotic normality result leads to a test on the value of the volatility in exponential L\'evy models .
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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This is done by showing
To this end, we show
R
for the estimation
in the spectral calibration method for the estimators
A
jump
D
in the spectral calibration method. Furthermore, the asymptotic normality result leads to a test on the value of the volatility in exponential L\'evy models