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.

arXiv comment34 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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