Fast simulation of tempered stable Ornstein-Uhlenbeck processes
DOI10.1007/s00180-022-01205-8zbMath1505.62349OpenAlexW4214695291MaRDI QIDQ2095765
Piergiacomo Sabino, Nicola Cufaro Petroni
Publication date: 15 November 2022
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-022-01205-8
simulationstempered stable distributionsself-decomposable lawsLévy-driven Ornstein-Uhlenbeck processes
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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