Tempered stable distributions and processes

By Uwe Kuchler, Stefan Tappe. 2013

141 citations recorded by the source corpus.

We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study of their densities. Regarding tempered stable processes, we deal with density transformations and compute their p-variation indices. Exponential stock models driven by tempered stable processes are discussed as well.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/71c92b23a6805f654a64f27373ac8d0616f9bf79

Citations in the corpus

• Strong convergence of the Euler–Maruyama approximation for a class of Lévy-driven SDEs (2017, unknown): “[10] or [13, Example 5.”
• The Variance-Gamma Distribution: A Review (2023, unknown): “For properties and references for this class of distributions see, for example, Küchler and Tappe [65].”