On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance (Q2153520)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance |
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On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance (English)
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5 July 2022
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cumulant
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functional limit theorem
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log-return distribution
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exponentially tilted stable distribution
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moment method
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Wasserstein distance
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