Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
Author:
Affiliation:
1. Robert H. Smith School of Business, University of Maryland, College Park, MD 20742, USA
2. Derivative Product Strats, Morgan Stanley, 1585 Broadway, 5th floor, New York, NY 10036, USA
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2060852
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