Tempered stable distributions and processes

Uwe Küchler and Stefan Tappe

Stochastic Processes and their Applications, 2013, vol. 123, issue 12, 4256-4293

Abstract: 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.

Keywords: Tempered stable distributions and processes; Limit distributions; Parameter estimation; p-variation index (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:12:p:4256-4293

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DOI: 10.1016/j.spa.2013.06.012

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