Asymmetrically tempered stable distributions with applications to finance

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

• Tempered stable distributions and processes
• scientific article
• Tempered stable processes with time-varying exponential tails
• Multi-modal tempered stable distributions and prosses with applications to finance
• A New Tempered Stable Distribution and Its Application to Finance

zbMATH Keywords

tempered stable distributionsexponential Lévy model

Mathematics Subject Classification ID

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
• Title not available (Why is that?)
• 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 (3)

• A new measure between sets of probability distributions with applications to erratic financial behavior
• A New Tempered Stable Distribution and Its Application to Finance
• Multi-modal tempered stable distributions and prosses with applications to finance

This page was built for publication: Asymmetrically tempered stable distributions with applications to finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5227569)