Exponential stock models driven by tempered stable processes

DOI10.1016/j.jeconom.2014.02.008zbMath1311.91179arXiv1907.05142OpenAlexW2963837539MaRDI QIDQ2451785

Uwe Küchler, Stefan Tappe

Publication date: 4 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.05142

zbMATH Keywords

option pricingbilateral Esscher transformtempered stable processexponential stock model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stable stochastic processes (60G52)

Related Items

Some further results on the tempered multistable approach ⋮ Mean exit time for stochastic dynamical systems driven by tempered stable Lévy fluctuations ⋮ Risk parity for mixed tempered stable distributed sources of risk ⋮ Lévy-Ito models in finance ⋮ Multivariate tempered stable random fields ⋮ Estimation and simulation for multivariate tempered stable distributions ⋮ Dynamical behavior of a nonlocal Fokker–Planck equation for a stochastic system with tempered stable noise ⋮ DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS ⋮ Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes

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