A New Tempered Stable Distribution and Its Application to Finance

DOI10.1007/978-3-7908-2050-8_5zbMath1154.91507OpenAlexW198853051MaRDI QIDQ3606096

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Publication date: 26 February 2009

Published in: Contributions to Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2050-8_5

Mathematics Subject Classification ID

Distribution theory (60E99)

Related Items (8)

Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process ⋮ The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing ⋮ Learning for infinitely divisible GARCH models in option pricing ⋮ TempStable ⋮ On the convolution equivalence of tempered stable distributions on the real line ⋮ Multivariate tempered stable random fields ⋮ Periodic portfolio revision with transaction costs

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Dimension free and infinite variance tail estimates on Poisson space
• Tempering stable processes
• The minimal entropy martingale measures for geometric Lévy processes
• The relative entropy in CGMY processes and its applications to finance
• Mathematical Statistics
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Financial Modelling with Jump Processes
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• A Test of Goodness of Fit

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