Asymmetrically tempered stable distributions with applications to finance

• Autorzy: Arefi A. , Pourtaheri R.

Identyfikatory

DOI

10.19195/0208-4147.39.1.6

• Języki publikacji: EN

Abstrakty

EN

In this paper, we introduce a technique to produce a new family of tempered stable distributions. We call this family asymmetrically tempered stable distributions. We provide two examples of this family named asymmetrically classical modified tempered stable (ACMTS) and asymmetrically modified classical tempered stable (AMCTS) distributions. Since the tempered stable distributions are infinitely divisible, Lévy processes can be induced by the ACMTS and AMCTS distributions. The properties of these distributions will be discussed along with the advantages in applying them to financial modeling. Furthermore, we develop exponential Lévy models for them. To demonstrate the advantages of the exponential Lévy ACMTS and AMCTS models, we estimate parameters for the S & P 500 Index.

Słowa kluczowe

EN

tempered stable distributions; exponential Lévy model

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2019
• Tom: Vol. 39, Fasc. 1
• Strony: 85--98
• Opis fizyczny: Bibliogr. 21 poz., tab., wykr.

Twórcy

autor

Arefi A.

• Department of Statistics, Allameh Tabataba’i University, Iran

autor

Pourtaheri R.

• Department of Statistics, Allameh Tabataba’i University, Iran

Bibliografia

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