A New Tempered Stable Distribution and Its Application to Finance
From MaRDI portal
Publication:3606096
DOI10.1007/978-3-7908-2050-8_5zbMath1154.91507OpenAlexW198853051MaRDI QIDQ3606096
No author found.
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
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (7)
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process ⋮ The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing ⋮ Learning for infinitely divisible GARCH models in option pricing ⋮ TempStable ⋮ Multivariate tempered stable random fields ⋮ Periodic portfolio revision with transaction costs
Cites Work
- The Pricing of Options and Corporate Liabilities
- Dimension free and infinite variance tail estimates on Poisson space
- Tempering stable processes
- The minimal entropy martingale measures for geometric Lévy processes
- The relative entropy in CGMY processes and its applications to finance
- Mathematical Statistics
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Financial Modelling with Jump Processes
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
- A Test of Goodness of Fit
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: A New Tempered Stable Distribution and Its Application to Finance
