Tempered stable distributions and processes
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2019
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| _version_ | 1866908666025738240 |
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| author | Küchler, Uwe Tappe, Stefan |
| author_facet | Küchler, Uwe Tappe, Stefan |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1907_05141 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Tempered stable distributions and processes Küchler, Uwe Tappe, Stefan Probability Mathematical Finance 60E07, 60G51 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. |
| title | Tempered stable distributions and processes |
| topic | Probability Mathematical Finance 60E07, 60G51 |
| url | https://arxiv.org/abs/1907.05141 |