IDEAS home Printed from https://ideas.repec.org/r/eee/spapps/v123y2013i12p4256-4293.html

Tempered stable distributions and processes

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Gaetano Agazzotti & Jean-Philippe Aguilar, 2025. "Fast and explicit European option pricing under tempered stable processes," Papers 2510.01211, arXiv.org.
  2. Boyi Li & Weixuan Xia, 2024. "Crypto Inverse-Power Options and Fractional Stochastic Volatility," Papers 2403.16006, arXiv.org, revised Jun 2025.
  3. Yanlin Shi & Lingbing Feng & Tong Fu, 2020. "Markov Regime-Switching in-Mean Model with Tempered Stable Distribution," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1275-1299, April.
  4. A. H. Nzokem, 2023. "Bitcoin versus S&P 500 Index: Return and Risk Analysis," Papers 2310.02436, arXiv.org.
  5. Lucio Fiorin & Wim Schoutens, 2020. "Conic quantization: stochastic volatility and market implied liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 531-542, April.
  6. Kühn, Franziska & Schilling, René L., 2019. "Strong convergence of the Euler–Maruyama approximation for a class of Lévy-driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2654-2680.
  7. Liang Wang & Weixuan Xia, 2022. "Power‐type derivatives for rough volatility with jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1369-1406, July.
  8. Massimiliano Moda & Karel J. in 't Hout & Mich`ele Vanmaele & Fred Espen Benth, 2025. "Numerical valuation of European options under two-asset infinite-activity exponential L\'evy models," Papers 2511.02700, arXiv.org.
  9. A. H. Nzokem, 2023. "European Option Pricing Under Generalized Tempered Stable Process: Empirical Analysis," Papers 2304.06060, arXiv.org, revised Feb 2025.
  10. Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, vol. 4(2), pages 1-28, May.
  11. Küchler, Uwe & Tappe, Stefan, 2014. "Exponential stock models driven by tempered stable processes," Journal of Econometrics, Elsevier, vol. 181(1), pages 53-63.
  12. Roberto Baviera & Pietro Manzoni, 2024. "Fast and General Simulation of L\'evy-driven OU processes for Energy Derivatives," Papers 2401.15483, arXiv.org, revised Sep 2024.
  13. Choe, Geon Ho & Lee, Dong Min, 2016. "Numerical computation of hitting time distributions of increasing Lévy processes," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 289-294.
  14. Søren Asmussen, 2022. "On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance," Finance and Stochastics, Springer, vol. 26(3), pages 383-416, July.
  15. Gong, Xiao-li & Zhuang, Xin-tian, 2016. "Option pricing and hedging for optimized Lévy driven stochastic volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 118-127.
  16. Dassios, Angelos & Qu, Yan & Zhao, Hongbiao, 2018. "Exact simulation for a class of tempered stable," LSE Research Online Documents on Economics 86981, London School of Economics and Political Science, LSE Library.
  17. Gong, Xiaoli & Zhuang, Xintian, 2017. "Pricing foreign equity option under stochastic volatility tempered stable Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 83-93.
  18. Paolella, Marc S., 2017. "Asymmetric stable Paretian distribution testing," Econometrics and Statistics, Elsevier, vol. 1(C), pages 19-39.
  19. 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.
  20. Sampaio, Jhames M. & Morettin, Pedro A., 2020. "Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 67-83.
  21. Hitaj, Asmerilda & Mercuri, Lorenzo & Rroji, Edit, 2015. "Portfolio selection with independent component analysis," Finance Research Letters, Elsevier, vol. 15(C), pages 146-159.
  22. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Lévy CARMA models for shocks in mortality," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 205-227, June.
  23. Shi, Yanlin & Feng, Lingbing, 2016. "A discussion on the innovation distribution of the Markov regime-switching GARCH model," Economic Modelling, Elsevier, vol. 53(C), pages 278-288.
  24. Gong, Xiaoli & Zhuang, Xintian, 2016. "Option pricing for stochastic volatility model with infinite activity Lévy jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 455(C), pages 1-10.
  25. A. H. Nzokem & V. T. Montshiwa, 2022. "Fitting Generalized Tempered Stable distribution: Fractional Fourier Transform (FRFT) Approach," Papers 2205.00586, arXiv.org, revised Jun 2022.
  26. Tong Liu & Yanlin Shi, 2022. "Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market," Mathematics, MDPI, vol. 10(11), pages 1-18, June.
  27. Walter Farkas & Ludovic Mathys & Nikola Vasiljević, 2021. "Intra‐Horizon expected shortfall and risk structure in models with jumps," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 772-823, April.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.