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20142023
most citedCryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk

14 citations · 40 across the 13 of their papers we have counts for

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q-fin.PR2018★ 3 cited

First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing

Young Shin Kim

In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic functi…