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Exponential stock models driven by tempered stable processes · Study

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ArticleExponential stock models driven by tempered stable processes

Uwe Küchler2014

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Articlegreen2014

Exponential stock models driven by tempered stable processes

Uwe Küchler · Stefan Tappe

20 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

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References

2003Financial Modelling with Jump Processes 1999Option valuation using the fast Fourier transform 2002The Fine Structure of Asset Returns: An Empirical Investigation 1990The Variance Gamma (V.G.) Model for Share Market Returns 1990Hedging of contingent claims under incomplete information 1995Option pricing by Esscher transforms.2006Tempering stable processes 2001A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes

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Year2014

Typearticle

Published2014-02-26

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2014.02.008

openalex_workW2086940795

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