Retrodicting with the truncated Lévy flight

DOI10.1016/J.CNSNS.2022.106900OpenAlexW4297200261MaRDI QIDQ2094520

Mateus Nagata, Raul Matsushita, Sergio Da Silva, Pedro Brom

Publication date: 28 October 2022

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2022.106900

zbMATH Keywords

exchange ratespower lawsfinancial datatruncated Lévy flight

Mathematics Subject Classification ID

Statistics (62-XX) Probability theory and stochastic processes (60-XX)

Cites Work

• Unnamed Item
• Exponentially damped Lévy flights
• On the origins of truncated Lévy flights
• Bypassing the truncation problem of truncated Lévy flights
• Probability distribution of returns in the Heston model with stochastic volatility*
• Mixture of extreme-value distributions: identifiability and estimation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: Retrodicting with the truncated Lévy flight