Fast simulation of tempered stable Ornstein-Uhlenbeck processes
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Publication:2095765
Lévy-driven Ornstein-Uhlenbeck processesself-decomposable lawssimulationstempered stable distributions
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites work
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- Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
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- Tempered stable Ornstein– Uhlenbeck processes: A practical view
- Tempering stable processes
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Cited in
(12)- Exact simulation of normal tempered stable processes of OU type with applications
- Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
- Tempered stable Ornstein– Uhlenbeck processes: A practical view
- Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes
- On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
- Measures of dependence for Ornstein-Uhlenbeck processes with tempered stable distribution
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives
- Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process
- A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes
- Risk Valuation of Quanto Derivatives on Temperature and Electricity
- Closed-form option formulas for Kou-like models
- Simulating continuous-time autoregressive moving average processes driven by p -tempered α -stable Lévy processes
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