The Modifled Tempered Stable Distribution, GARCH Models and Option Pricing
By Young Shin Kim, Svetlozar T. Rachev, D. Chung, Michele Leonardo Bianchi. 2008
52 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/a8d28b8f51bfe465289c54d8e17ed14d99ff1227
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Michele Leonardo Bianchi
- Frank J Fabozzi 3
- Young Shin Kim
- Svetlozar T. Rachev
- Uwe Kuchler
- Stefan Tappe
- Rustam Ibragimov
- Aleksey Min
Citations in the corpus
- Financial market models with Lévy processes and time-varying volatility. (2008, background): “The proofs can be found in Kim (2005) or Kim, Rachev, and Chung (2006).”
- Tempered Infinitely Divisible Distributions and Processes (2011, methodology): “The modified tempered stable (MTS) distribution is not a tempered stable distribution of the Rosi´nski type [ 8 ] even though its properties are very close to that class.”
- Tempered stable distributions and processes (2013, background): “, in [8, 29, 20, 2], see also the recent textbook [32].”