On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance

DOI10.1007/s00780-022-00482-xzbMath1494.91151OpenAlexW4283661525MaRDI QIDQ2153520

Soren Asmussen

Publication date: 5 July 2022

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-022-00482-x

zbMATH Keywords

functional limit theoremcumulantWasserstein distancemoment methodexponentially tilted stable distributionlog-return distribution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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