Tempered stable distributions and processes

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.

34 pages

References in corpus (3)

• Bilateral Gamma distributions and processes in financial mathematics
• On the shapes of bilateral Gamma densities
• Option pricing in bilateral Gamma stock models

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• Stein's Method for Tempered Stable Distributions
• Stochastic SIR Levy jump model with heavy tailed increments
• Average-tempered stable subordinators with applications
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• Theoretical and computational investigations of superposed interacting affine and more complex processes
• Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes
• Mixed Tempered Stable distribution
• Multivariate Mixed Tempered Stable Distribution