Geometric Brownian motion with tempered stable waiting times

DOI10.1007/s10955-012-0537-3zbMath1248.91102OpenAlexW2124364599MaRDI QIDQ452033

Janusz Gajda, Agnieszka Wyłomańska

Publication date: 19 September 2012

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-012-0537-3

zbMATH Keywords

calibrationgeometric Brownian motiontempered inverse subordinator

Mathematics Subject Classification ID

Brownian motion (60J65) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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