The theory of geometric stable distributions and its use in modeling financial data
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 74 (1994)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/eor
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- Kozubowski, Tomasz J. & Panorska, Anna K., 1996. "On moments and tail behavior of v-stable random variables," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 307-315, September.
- Fleten, Stein-Erik & Lindset, Snorre, 2008.
"Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach,"
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Elsevier, vol. 185(3), pages 1680-1689, March.
- Fleten, Stein-Erik & Lindset, Snorre, 2004. "Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach," MPRA Paper 220, University Library of Munich, Germany, revised Apr 2006.
- Kozubowski, Tomasz J. & Meerschaert, Mark M. & Panorska, Anna K. & Scheffler, Hans-Peter, 2005. "Operator geometric stable laws," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 298-323, February.
- Tomasz Kozubowski, 2000. "Exponential Mixture Representation of Geometric Stable Distributions," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(2), pages 231-238, June.
- Kozubowski, Tomasz J. & Panorska, Anna K., 1998. "Weak Limits for Multivariate Random Sums," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 398-413, November.
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