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Geometric Brownian Motion with Tempered Stable Waiting Times
8 references·0 citing·26 second hop
Geometric Brownian Motion with Tempered Stable Waiting Times (2012)Geometric Brownian Motion with Tempered S…Subordinated α -stable Ornstein–Uhlenbeck process as a tool for financial data description (2011)Subordinated α -stable Ornste…Risk assessment : decisions in banking and finance (2009)Risk assessment : decisions i…The Modifled Tempered Stable Distribution, GARCH Models and Option Pricing (2008)The Modifled Tempered Stable …A New Tempered Stable Distribution and Its Application to Finance (2008)A New Tempered Stable Distrib…Tempering stable processes (2006)Tempering stable processesTheory of rational option pricing (2005)Theory of rational option pri…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Empirical properties of asset returns: stylized facts and statistical issues (2001)Financial Modelling with Jump Processes (2003)Approximation of skewed and leptokurtic return distributions (2012)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Generalized autoregressive conditional heteroskedasticity (1986)Option pricing in a Garch model with tempered stable innovations (2008)Tempered Infinitely Divisible Distributions and Processes (2011)Exploiting intra-day patterns for market shock prediction: A machine learning approach (2019)The Behavior of Stock-Market Prices (1965)An equilibrium characterization of the term structure (1977)Time-changed geometric fractional Brownian motion and option pricing with transaction costs (2012)Codifference as a practical tool to measure interdependence (2014)Option pricing: A simplified approach (1979)Stochastic models for risk estimation in volatile markets: a survey (2008)VaR-implied tail-correlation matrices (2013)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2006Tempering stable processes545 cited
  • 2011Subordinated α -stable Ornstein–Uhlenbeck process as a tool for financial data description63 cited
  • 2008The Modifled Tempered Stable Distribution, GARCH Models and Option Pricing49 cited
  • 2008A New Tempered Stable Distribution and Its Application to Finance33 cited
  • 2009Risk assessment : decisions in banking and finance33 cited

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