Asymmetrically tempered stable distributions with applications to finance

DOI10.19195/0208-4147.39.1.6MaRDI QIDQ5227569zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

exponential Lévy modeltempered stable distributions

Mathematics Subject Classification ID

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

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Cites work

• Actuarial bridges to dynamic hedging and option pricing
• Feller processes of normal inverse Gaussian type
• Financial Modelling with Jump Processes
• Generalized tempered stable processes
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• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Option pricing for a logstable asset price model
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Tempered infinitely divisible distributions and processes
• Tempered stable distributions and processes
• Tempering stable processes
• The pricing of options and corporate liabilities

Cited in

(9)

• On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
• Exponential stock models driven by tempered stable processes
• Tempered stable distributions. Stochastic models for multiscale processes
• pTAS distributions with application to risk management
• A New Tempered Stable Distribution and Its Application to Finance
• A new measure between sets of probability distributions with applications to erratic financial behavior
• Tempered stable processes with time-varying exponential tails
• Multi-modal tempered stable distributions and prosses with applications to finance
• On the reducibility of affine models with dependent Lévy factors

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