Exponential stock models driven by tempered stable processes-Reference-Cited by-同舟云学术

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Exponential stock models driven by tempered stable processes

Published:2014-07 Issue:1 Volume:181 Page:53-63
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Küchler Uwe,Tappe Stefan

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference32 articles.

1. On q-optimal martingale measures in exponential Lévy models;Bender;Finance Stoch.,2008

2. Tempered stable distributions and processes in finance: numerical analysis;Bianchi,2010

3. Tempered infinitely divisible distributions and processes;Bianchi;Theory Probab. Appl.,2011

4. Option pricing for truncated Lévy processes;Boyarchenko;Int. J. Theor. Appl.Finance,2000

5. The fine structure of asset returns: an empirical investigation;Carr;J. Bus.,2002

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1. Pricing multi-asset options with tempered stable distributions;Financial Innovation;2024-08-20

2. First exit and Dirichlet problem for the nonisotropic tempered $$\alpha$$-stable processes;Computational Statistics;2024-02-15

3. Parametric Estimation of Tempered Stable Laws;Latin American Journal of Probability and Mathematical Statistics;2024

4. Efficient simulation of p-tempered $$\alpha $$-stable OU processes;Statistics and Computing;2022-11-24

5. Multivariate tempered stable random fields;Journal of Mathematical Analysis and Applications;2021-11

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