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20092023
most citedSmall-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

22 citations · 55 across the 16 of their papers we have counts for

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econ.EM2021

Estimation of Tempered Stable Lévy Models of Infinite Variation

José E. Figueroa-López, Ruoting Gong, Yuchen Han

We propose a new method for the estimation of a semiparametric tempered stable Lévy model. The estimation procedure combines iteratively an approximate semiparametric method of mom…