1 citations · 1 across the 4 of their papers we have counts for
4 papers
Exact Simulation from Tempered Stable Distributions with Infinite Variation ()
Michael Grabchak
We develop the first exact and computationally tractable method for simulating from tempered stable distributions in the infinite variation case, which corresponds to .…
Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
Sebastien Bossu, Michael Grabchak
Random-expiry options are nontraditional derivative contracts that may expire early based on a random event. We develop a methodology for pricing these options using a trinomial tr…
Confidence Intervals Using Turing's Estimator: Simulations and Applications
Jie Chang, Michael Grabchak, Jialin Zhang
Turing's estimator allows one to estimate the probabilities of outcomes that either do not appear or only rarely appear in a given random sample. We perform a simulation study to u…
On Approximations of Subordinators in and the Simulation of Tempered Stable Distributions
Michael Grabchak, Sina Saba
Subordinators are infinitely divisible distributions on the positive half-line. They are often used as mixing distributions in Poisson mixtures. We show that appropriately scaled P…