On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
Year of publication: |
2022
|
---|---|
Authors: | Asmussen, Søren |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 3, p. 383-416
|
Subject: | Cumulant | Exponentially tilted stable distribution | Functional limit theorem | Log-return distribution | Moment method | Wasserstein distance | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory |
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