Tempered stable distributions and processes

Uwe K\"uchler and Stefan Tappe

Papers from arXiv.org

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.

Date: 2019-07
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Published in Stochastic Processes and Their Applications 123(12):4256-4293, 2013

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1907.05141

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