An Exact Method For Simulating Rapidly Decreasing Tempered Stable Distributions

Abstract

Rapidly decreasing tempered stable distributions are useful models for financial applications. However, there has been no exact method for simulation available in the literature. We remedy this by introducing an exact simulation method in the finite variation case. Our methodology works for the wider class of $p$-RDTS distributions.

References in corpus (2)

• On A New Class of Tempered Stable Distributions: Moments and Regular Variation
• On the Simulation of General Tempered Stable Ornstein-Uhlenbeck Processes

Cited by in corpus (3)

• Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
• Stochastic volatility model with long memory for water quantity-quality dynamics
• Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes