Tempered stable Lévy motion driven by stable subordinator
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
- Williams, Noah, 2004.
"Small noise asymptotics for a stochastic growth model,"
Journal of Economic Theory,
Elsevier, pages 271-298.
- Noah Williams, 2003. "Small Noise Asymptotics for a Stochastic Growth Model," NBER Working Papers 10194, National Bureau of Economic Research, Inc.
- Noah Williams, 2003. "Small Noise Asymptotics for a Stochastic Growth Model," Computing in Economics and Finance 2003 262, Society for Computational Economics.
- Didier Sornette, 1998. "Large deviations and portfolio optimization," Papers cond-mat/9802059, arXiv.org, revised Jun 1998.
- Stutzer, Michael, 2003. "Portfolio choice with endogenous utility: a large deviations approach," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 365-386.
- Chris Brooks & Alešs Černý & Joëlle Miffre, 2012. "Optimal hedging with higher moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(10), pages 909-944, October.
- Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
- F. Douglas Foster & Charles H. Whiteman, 2002. "Bayesian Cross Hedging: An Example From the Soybean Market," Australian Journal of Management, Australian School of Business, vol. 27(2), pages 95-122, December.
- Sornette, Didier, 1998. "Large deviations and portfolio optimization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 256(1), pages 251-283.
- Duffy, Ken & Lobunets, Olena & Suhov, Yuri, 2007. "Loss aversion, large deviation preferences and optimal portfolio weights for some classes of return processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 378(2), pages 408-422.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gong, Xiaoli & Zhuang, Xintian, 2017. "American option valuation under time changed tempered stable Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 57-68.
- repec:eee:phsmap:v:483:y:2017:i:c:p:83-93 is not listed on IDEAS
- Gong, Xiaoli & Zhuang, Xintian, 2017. "Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 148-159.
- repec:eee:phsmap:v:486:y:2017:i:c:p:628-637 is not listed on IDEAS
More about this item
KeywordsSubordination; Tempered stable motion; Subdiffusion; Calibration;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:392:y:2013:i:15:p:3168-3176. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
We have no references for this item. You can help adding them by using this form .