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Geometric Brownian Motion with Tempered Stable Waiting Times · Study

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ArticleGeometric Brownian Motion with Tempered Stable Waiting Times

Janusz Gajda2012

Article2012

Geometric Brownian Motion with Tempered Stable Waiting Times

Janusz Gajda · Agnieszka Wyłomańska

31 citations·0/0 files stored·Journal of Statistical Physics

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Stochastic processes and financial applications Fractional Differential Equations Solutions Complex Systems and Time Series Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2006Tempering stable processes 2011Subordinated α -stable Ornstein–Uhlenbeck process as a tool for financial data description 2008The Modifled Tempered Stable Distribution, GARCH Models and Option Pricing 2008A New Tempered Stable Distribution and Its Application to Finance 2009Risk assessment : decisions in banking and finance

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Year2012

Typearticle

Published2012-07-11

VenueJournal of Statistical Physics

ISSN-L0022-4715

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10955-012-0537-3

openalex_workW2124364599

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