Tempered stable distributions and processes

DOI10.1016/J.SPA.2013.06.012MaRDI QIDQ61368zbMATH OpenOpenAlexFDO

Authors Uwe Küchler, Stefan Tappe

Publication date December 2013

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.05141

zbMATH Keywords

\(p\)-variation indexlimit distributionparameter estimationtempered stable distributiontempered stable process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study of their densities. Regarding tempered stable processes, we deal with density transformations and compute their $p$-variation indices. Exponential stock models driven by tempered stable processes are discussed as well.

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