There is considerable empirical evidence that financial returns exhibit leptokurtosis and nonzero skewness. As a result, alternative distributions for modelling a time series of the financial returns have been proposed. A family of distributions that has shown considerable promise for modelling...

In this article, we introduce two new six-parameter processes based on time-changing tempered stable distributions and develop an option pricing model based on these processes. This model provides a good fit to observed option prices. To demonstrate the advantages of the new processes, we...