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Tempered stable processes with time-varying exponential tails

Published:2021-09-16 Issue: Volume: Page:1-21
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Kim Young Shin¹,Roh Kum-Hwan²,Douady Raphael³

Affiliation:

1. Finance Area, College of Business, Stony Brook University, New York, Stony Brook, NY, USA

2. Department of Mathematics, Hannam University, Deajeon, Korea

3. Centre d’Economie de la Sorbonne, CNRS, Paris 1 Panthéon-Sorbonne University, Paris, France

Funder

National Research Foundation of Korea

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1962958

Reference41 articles.

1. Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion

2. Foster–Hart optimal portfolios

3. The equity risk posed by the too-big-to-fail banks: a Foster–Hart estimation

4. Robust High-Precision Option Pricing by Fourier Transforms: Contour Deformations and Double-Exponential Quadrature

5. Empirical Performance of Alternative Option Pricing Models

Cited by 4 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. Portfolio optimization with relative tail risk;Annals of Operations Research;2024-08-31

2. Estimation for multivariate normal rapidly decreasing tempered stable distributions;Journal of Statistical Computation and Simulation;2023-07-17

3. Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market;Mathematics;2022-06-02

4. Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model;Annals of Operations Research;2022-03-09

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