On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
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Publication:2153520
DOI10.1007/s00780-022-00482-xzbMath1494.91151OpenAlexW4283661525MaRDI QIDQ2153520
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
functional limit theoremcumulantWasserstein distancemoment methodexponentially tilted stable distributionlog-return distribution
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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