Tempered stable distributions and processes
نویسندگان
چکیده
منابع مشابه
Tempered Stable Distributions and Processes
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 ar...
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Most of the important models in finance rest on the assumption that randomness is explained through a normal random variable. However there is ample empirical evidence against the normality assumption, since stock returns are heavy-tailed, leptokurtic and skewed. Partly in response to those empirical inconsistencies relative to the properties of the normal distribution, a suitable alternative d...
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This work introduces the class of generalized tempered stable processes which encompass variations on tempered stable processes that have been introduced in the field, including “modified tempered stable processes [8],” “layered stable processes [6],” and “Lamperti stable processes [3].” Short and long time behavior of GTS Lévy processes is characterized and the absolute continuity of GTS proce...
متن کاملApproximating Multivariate Tempered Stable Processes
Abstract. We give a simple method to approximate multidimensional exponentially tempered stable processes and show that the approximating process converges in the Skorokhod topology to the tempered process. The approximation is based on the generation of a random angle and a random variable with a lower dimensional Lévy measure. We then show that if an arbitrarily small normal random variable i...
متن کاملTempered infinitely divisible distributions and processes
In this paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the tempered stable distribution class, as introduced by in the seminal work of Rosińsky [10], a modification of the tempering function allows one to obtain suitable properties. In particular, TID distributions may have exponential moments of any order and conserve all proper prop...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2013
ISSN: 0304-4149
DOI: 10.1016/j.spa.2013.06.012