Tempered stable distributions and processes
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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 -variation indices. Exponential stock models driven by tempered stable processes are discussed as well.
The tempered stable distributions are perturbations of stable distributions obtained by adding an exponential weight on the jumping density, which allows for finite variance. It can also be viewed as a generalization of bilateral Gamma and CGMY distributions, which appear as weak limits. In this paper, the authors gather several simple analytical observations on the tempered stable distributions. They also consider the equivalent martingale measure transformations preserving the class of the associated tempered stable processes, in the framework of exponential stock prices models. In contrast to bilateral Gamma stock models, it may happen that there is no such martingale measure.
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