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q-fin.CP2021★ 4 cited
Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Young Shin Kim
This paper proposes the sample path generation method for the stochastic volatility version of CGMY process. We present the Monte-Carlo method for European and American option pric…
q-fin.CP2020
Tempered Stable Processes with Time Varying Exponential Tails
Young Shin Kim, Kum-Hwan Roh, Raphael Douady
In this paper, we introduce a new time series model having a stochastic exponential tail. This model is constructed based on the Normal Tempered Stable distribution with a time-var…