Multivariate tempered stable additive subordination for financial models

DOI10.1007/s11579-022-00321-9OpenAlexW3159587838MaRDI QIDQ2675366

Publication date: 23 September 2022

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.00844

zbMATH Keywords

tempered stable distributions multivariate additive subordination multivariate asset modeling Sato processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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