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Tempered stable processes with time-varying exponential tails - MaRDI portal

Tempered stable processes with time-varying exponential tails (Q5072913)

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scientific article; zbMATH DE number 7518203
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English
Tempered stable processes with time-varying exponential tails
scientific article; zbMATH DE number 7518203

    Statements

    title
    Tempered stable processes with time-varying exponential tails (English)
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    publication date
    5 May 2022
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    zbMATH Keywords
    option pricing
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    stochastic exponential tail
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    volatility of volatility
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    normal tempered stable distribution
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    Lévy process
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    cites work
    Q2738733
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    Q4331490
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    Q3083935
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G51
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    62P05
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    zbMATH DE Number
    7518203
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    OpenAlex ID
    W3200827920
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    Wikidata QID
    Q115549868
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    arXiv ID
    2006.07669
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