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  • Search: subject:"Tilted stable distribution"
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Year of publication
1400 : 2026
1400
2026
Subject
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Asymptotic credible intervals 1 Bayesian nonparametric inference 1 Cumulant 1 Ewens-Pitman sampling model 1 Exponentially tilted stable distribution 1 Functional limit theorem 1 Log-return distribution 1 Moment method 1 Option pricing theory 1 Optionspreistheorie 1 Probability theory 1 Statistical distribution 1 Statistische Verteilung 1 Tilted stable distribution 1 Two-parameter Poisson-Dirichlet process 1 Wahrscheinlichkeitsrechnung 1 Wasserstein distance 1
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Online availability
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Undetermined 2
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Asmussen, Søren 1 Favaro, Stefano 1 Nipoti, Bernardo 1
Published in...
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Finance and stochastics 1 Statistical Methods and Applications 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
Asmussen, Søren - In: Finance and stochastics 26 (2022) 3, pp. 383-416
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013440228
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Discussion of “On simulation and properties of the stable law” by L. Devroye and L. James
Favaro, Stefano; Nipoti, Bernardo - In: Statistical Methods and Applications 23 (2014) 3, pp. 365-369
We contribute to the discussion of the paper by Devroye and James, by reviewing some of the most meaningful results that relate the unilateral stable distribution with the asymptotic behavior of the so-called Ewens-Pitman sampling model. Our focus is then on how these results have been exploited...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010998664
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