Retrodicting with the truncated Lévy flight

DOI10.1016/J.CNSNS.2022.106900MaRDI QIDQ2094520zbMATH OpenOpenAlexFDO

Authors Raul Matsushita, Pedro Brom, Mateus Nagata, Sergio Da Silva

Publication date 28 October 2022

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2022.106900

zbMATH Keywords

exchange ratesfinancial datapower lawstruncated Lévy flight

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Statistics (62-XX)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Bypassing the truncation problem of truncated Lévy flights
• Exponentially damped Lévy flights
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• Mixture of extreme-value distributions: identifiability and estimation
• On the origins of truncated Lévy flights
• Probability distribution of returns in the Heston model with stochastic volatility

Cited in

(3)

• Bypassing the truncation problem of truncated Lévy flights
• Differential entropy estimation with a Paretian kernel: tail heaviness and smoothing
• A closed-form expression for the variance of truncated distribution and its uses

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