Average-tempered stable subordinators with applications

DOI10.1002/ASMB.2638MaRDI QIDQ6579706

Weixuan Xia

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

derivatives pricingasymptotic behaviorssubordinatorstempered stable distributiondegradation modelingrunning average

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Tempering stable processes
• Unimodality of infinitely divisible distribution functions of class L
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• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Calculation of Gauss-Kronrod quadrature rules
• The normal inverse gaussian lévy process: simulation and approximation
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• The Variance Gamma Process and Option Pricing
• The average of a negative-binomial Lévy process and a class of Lerch distributions
• Calculation of Gauss Quadrature Rules
• Stochastic modelling and analysis of degradation for highly reliable products

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