scientific article; zbMATH DE number 5566166

MaRDI QIDQ3633248zbMATH OpenFDO

Authors Yong Shin Kim, Dong Myung Chung, Michele Leonardo Bianchi, Svetlozar T. Rachev

Publication date 18 June 2009

Full work available at URL http://www.math.uni.wroc.pl/~pms/publications.php

zbMATH Keywords

GARCH processoption pricingtempered stable distributionvolatility clustering

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Economic time series analysis (91B84)

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Cited in

(30)

• Smoothly truncated stable distributions, GARCH-models, and option pricing
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• American option valuation under time changed tempered stable Lévy processes
• Estimation of the tail of probability distribution through its characteristic function
• Extending the Fama and French model with a long term memory factor
• Exact simulation of normal tempered stable processes of OU type with applications
• Fast simulation of tempered stable Ornstein-Uhlenbeck processes
• A note on power-law cross-correlated processes
• On a Lévy process pinned at random time
• Modelling tail risk with tempered stable distributions: an overview
• Periodic portfolio revision with transaction costs
• Exponential stock models driven by tempered stable processes
• Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
• A New Tempered Stable Distribution and Its Application to Finance
• Option pricing and hedging under a stochastic volatility Lévy process model
• Geometric Brownian motion with tempered stable waiting times
• Long-range dependence in the risk-neutral measure for the market on Lehman Brothers collapse
• Use of tempered stable distributions in GARCH(1,1) models
• Elliptical tempered stable distribution
• Tempered stable processes with time-varying exponential tails
• Multi-modal tempered stable distributions and prosses with applications to finance
• Fractionally integrated GARCH model with tempered stable distribution: a simulation study
• Asymmetrically tempered stable distributions with applications to finance
• Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
• Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
• Tempered stable distributions and processes
• A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
• Insurance risk analysis using tempered stable subordinator
• A generalization result regarding the small and large scale behavior of infinitely divisible processes
• A GARCH option pricing model with \(\alpha\)-stable innovations

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