Integral and asymptotic representations of geo-stable densities

DOI10.1016/0893-9659(96)00091-2zbMath0867.60005OpenAlexW2059028253MaRDI QIDQ1352361

Stefan Mittnik, Lev B. Klebanov, Nikolai L. Vulchanov, Svetlozar T. Rachev

Publication date: 20 July 1997

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0893-9659(96)00091-2

zbMATH Keywords

asymptotic expansioncharacteristic functionprobability density functionfinancial modelinggeometric stable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10)

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Cites Work

• The theory of geometric stable distributions and its use in modeling financial data
• Option pricing for stable and infinitely divisible asset returns
• Analytic and asymptotic properties of Linnik's probability densities. I
• A Problem of Zolotarev and Analogs of Infinitely Divisible and Stable Distributions in a Scheme for Summing a Random Number of Random Variables
• Modeling asset returns with alternative stable distributions^*
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