Tempered stable processes with time-varying exponential tails

DOI10.1080/14697688.2021.1962958zbMath1490.91214arXiv2006.07669OpenAlexW3200827920WikidataQ115549868 ScholiaQ115549868MaRDI QIDQ5072913

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Publication date: 5 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.07669

zbMATH Keywords

option pricingLévy processvolatility of volatilitynormal tempered stable distributionstochastic exponential tail

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model

Cites Work

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