Results 1 to 10 of about 2,530,305 (240)
Approximations related to tempered stable distributions [PDF]
Modern Stochastics: Theory and ApplicationsIn this article, we first obtain, for the Kolmogorov distance, an error bound between a tempered stable and a compound Poisson distribution (CPD) and also an error bound between a tempered stable and an α-stable distribution via Stein’s method.
Kalyan Barman +2 more
doaj +6 more sources
Tempered Stable Distributions [PDF]
SpringerBriefs in Mathematics, 2016 This brief is concerned with tempered stable distributions and their associated Levy processes. It is a good text for researchers interested in learning about tempered stable distributions.
Michael Grabchak
exaly +5 more sources
Discrete Tempered Stable Distributions [PDF]
Methodology and Computing in Applied Probability, 2021 A discrete tempered stable (DTS) random variable \(X\) with parameters \(\alpha\in(0,1)\) and \(\eta\geq0\), and with tempering function \(q\) satisfying \(\lim_{x\downarrow0}q(x)=1\) and \(\mathrm{ess}\sup q(x)
Michael Grabchak
exaly +2 more sources
Tempered stable distributions and processes
Stochastic Processes and Their Applications, 2013 34 ...
Stefan Tappe
exaly +4 more sources
Exact Simulation for a Class of Tempered Stable and Related Distributions [PDF]
ACM Transactions on Modeling and Computer Simulation, 2018 In this article, we develop a new scheme of exact simulation for a class of tempered stable (TS) and other related distributions with similar Laplace transforms. We discover some interesting integral representations for the underlying density functions that imply a unique simulation framework based on a backward recursive procedure.
Hongbiao Zhao +2 more
exaly +2 more sources
Three upsilon transforms related to tempered stable distributions
Electronic Communications in Probability, 2015 We discuss the properties of three upsilon transforms, which are related to the class of $p$-tempered $α$-stable ($TS^p_α$) distributions. In particular, we characterize their domains and show how they can be represented as compositions of each other.
Michael Grabchak
exaly +4 more sources
Pricing multi-asset options with tempered stable distributions
Financial InnovationWe derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly follow a multivariate tempered stable distribution. These lead to processes that are more realistic than the better known Brownian motion and stable processes ...
Yunfei Xia, Michael Grabchak
doaj +2 more sources
On approximations of subordinators in $$L^p$$ and the simulation of tempered stable distributions
Statistics and ComputingAbstract Subordinators are infinitely divisible distributions on the positive half-line. They are often used as mixing distributions in Poisson mixtures. We show that appropriately scaled Poisson mixtures can approximate the mixing subordinator and we derive a rate of convergence in $$L^p$$
Michael Grabchak
exaly +4 more sources
Use of tempered stable distributions in GARCH(1, 1) models
Журнал Белорусского государственного университета: Математика, информатика, 2018 Use of classical and modified tempered stable distributions for GARCH models is considered in the paper. Such models are applied for the analysis of financial and economic time series, which have several special properties: volatility clustering, heavy ...
Uladzimir S. Tserakh
doaj +1 more source
Mixed tempered stable distribution [PDF]
Quantitative Finance, 2013 In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. It has the same structure of the Normal Variance Mean Mixtures but the normality assumption leaves place to a semi-heavy tailed distribution. We show that, by choosing appropriately the parameters of the distribution and under the concrete specification of the mixing ...
Rroji E, Mercuri L
openaire +5 more sources