On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance

Author:

Asmussen Søren

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference51 articles.

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2. Arizmendi, O.: Convergence of the fourth moment and infinite divisibility. Probab. Math. Stat. 33, 201–212 (2013)

3. Asmussen, S.: Remarks on Lévy process simulation. In: Botev, Z., et al. (eds.) Advances in Modeling and Simulation. Springer, Berlin (2022). To appear. Available online at https://ssrn.com/abstract=4129877

4. Asmussen, S., Bladt, M.: Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. Quant. Finance 22, 675–689 (2022)

5. Asmussen, S., Rosiński, J.: Approximations for small jumps of Lévy processes with a view towards simulation. J. Appl. Probab. 38, 482–493 (2001)

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Centre-free kurtosis orderings for asymmetric distributions;Statistical Papers;2023-02-09

2. Remarks on Lévy Process Simulation;Advances in Modeling and Simulation;2022

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