A New Tempered Stable Distribution and Its Application to Finance

DOI10.1007/978-3-7908-2050-8_5MaRDI QIDQ3606096zbMATH OpenOpenAlexFDO

Authors

Publication date 26 February 2009

Published in Contributions to Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-7908-2050-8_5

Mathematics Subject Classification ID

Distribution theory (60E99)

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Cites work

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• scientific article; zbMATH DE number 3962966 (Why is no real title available?)
• scientific article; zbMATH DE number 1079694 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3319139 (Why is no real title available?)
• A Test of Goodness of Fit
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Dimension free and infinite variance tail estimates on Poisson space
• Financial Modelling with Jump Processes
• Mathematical Statistics
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Stable Paretian models in finance
• Tempering stable processes
• The minimal entropy martingale measures for geometric Lévy processes
• The pricing of options and corporate liabilities
• The relative entropy in CGMY processes and its applications to finance

Cited in

(10)

• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
• A new measure between sets of probability distributions with applications to erratic financial behavior
• Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process
• Periodic portfolio revision with transaction costs
• TempStable
• The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
• Multivariate tempered stable random fields
• The theory of geometric stable distributions and its use in modeling financial data
• Learning for infinitely divisible GARCH models in option pricing
• On the convolution equivalence of tempered stable distributions on the real line

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