Asymmetrically tempered stable distributions with applications to finance

DOI10.19195/0208-4147.39.1.6zbMath1448.60042OpenAlexW3012554524MaRDI QIDQ5227569

Reza Pourtaheri, Ahmad Arefi

Publication date: 6 August 2019

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.19195/0208-4147.39.1.6

zbMATH Keywords

tempered stable distributionsexponential Lévy model

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Economic time series analysis (91B84)

Related Items (1)

Multi-modal tempered stable distributions and prosses with applications to finance

Cites Work

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• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Feller processes of normal inverse Gaussian type
• Financial Modelling with Jump Processes

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