Asymmetrically tempered stable distributions with applications to finance
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Publication:5227569
DOI10.19195/0208-4147.39.1.6zbMATH Open1448.60042OpenAlexW3012554524MaRDI QIDQ5227569FDOQ5227569
Authors: Ahmad Arefi, Reza Pourtaheri 
Publication date: 6 August 2019
Published in: Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.19195/0208-4147.39.1.6
Recommendations
Infinitely divisible distributions; stable distributions (60E07) Economic time series analysis (91B84)
Cites Work
- The pricing of options and corporate liabilities
- Tempered infinitely divisible distributions and processes
- Title not available (Why is that?)
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Financial Modelling with Jump Processes
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- Tempered stable distributions and processes
- Tempering stable processes
- Generalized tempered stable processes
- Feller processes of normal inverse Gaussian type
- Actuarial bridges to dynamic hedging and option pricing
- Option pricing for a logstable asset price model
Cited In (8)
- Tempered stable distributions. Stochastic models for multiscale processes
- A new measure between sets of probability distributions with applications to erratic financial behavior
- Tempered stable processes with time-varying exponential tails
- On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
- A New Tempered Stable Distribution and Its Application to Finance
- Exponential stock models driven by tempered stable processes
- pTAS distributions with application to risk management
- Multi-modal tempered stable distributions and prosses with applications to finance
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