An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case

Michael Grabchak

Statistics & Probability Letters, 2021, vol. 170, issue C

Abstract: Rapidly decreasing tempered stable (RDTS) distributions are useful models for financial applications. However, there has been no exact method for simulation available in the literature. We remedy this by introducing an exact simulation method in the finite variation case. Our methodology works for the wider class of p-RDTS distributions.

Keywords: Tempered stable; RDTS; Simulation (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2020.109015

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