193 citations · 388 across the 5 of their papers we have counts for
5 papers
Option pricing in bilateral Gamma stock models
Uwe Küchler, Stefan Tappe
In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option pric…
Bilateral Gamma distributions and processes in financial mathematics
Uwe Küchler, Stefan Tappe
We present a class of Lévy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma dist…
On the shapes of bilateral Gamma densities
Uwe Küchler, Stefan Tappe
We investigate the four parameter family of bilateral Gamma distributions. The goal of this paper is to provide a thorough treatment of the shapes of their densities, which is of i…
Exponential stock models driven by tempered stable processes
Uwe Küchler, Stefan Tappe
We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous Lévy processes. With a view of option pricing, w…
Tempered stable distributions and processes
Uwe Küchler, Stefan Tappe
We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter esti…