4 papers
Enhanced Fractional Fourier Transform (FRFT) scheme based on closed Newton-Cotes rules
A. H. Nzokem
The paper improves the accuracy of the one-dimensional fractional Fourier transform (FRFT) by leveraging closed Newton-Cotes quadrature rules. Using the weights derived from the Co…
European Option Pricing Under Generalized Tempered Stable Process: Empirical Analysis
A. H. Nzokem
The paper investigates the performance of the European option price when the log asset price follows a rich class of Generalized Tempered Stable (GTS) distribution. The GTS distrib…
Fitting the seven-parameter Generalized Tempered Stable distribution to the financial data
Aubain Nzokem, Daniel Maposa
The paper proposes and implements a methodology to fit a seven-parameter Generalized Tempered Stable (GTS) distribution to financial data. The nonexistence of the mathematical expr…
Self-Decomposable Laws Associated with General Tempered Stable (GTS) Distribution and their Simulation Applications
A. H. Nzokem
The paper describes the self-decomposable distribution and the background driving Lévy process (BDLP) associated with the Generalized Tempered Stable (GTS) distribution. Two distr…