A New Tempered Stable Distribution and Its Application to Finance

DOI10.1007/978-3-7908-2050-8_5zbMATH Open1154.91507OpenAlexW198853051MaRDI QIDQ3606096FDOQ3606096

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

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Mathematics Subject Classification ID

Distribution theory (60E99)

Cites Work

• The pricing of options and corporate liabilities
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• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Financial Modelling with Jump Processes
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• Tempering stable processes
• Stable Paretian models in finance
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Mathematical Statistics
• A Test of Goodness of Fit
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• The minimal entropy martingale measures for geometric Lévy processes
• The relative entropy in CGMY processes and its applications to finance
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• Dimension free and infinite variance tail estimates on Poisson space

Cited In (10)

• 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
• The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
• Multivariate tempered stable random fields
• TempStable
• The theory of geometric stable distributions and its use in modeling financial data
• On the convolution equivalence of tempered stable distributions on the real line
• Learning for infinitely divisible GARCH models in option pricing
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation

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