Tempered stable processes with time-varying exponential tails
Young Shin Kim, Kum-Hwan Roh and Raphael Douady
| Year of publication: |
2022
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|---|---|
| Authors: | Kim, Young Shin ; Roh, Kum-Hwan ; Douady, Raphaël |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 3, p. 541-561
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| Subject: | Lévy process | Normal tempered stable distribution | Option pricing | Stochastic exponential tail | Volatility of volatility | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1962958 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013167779