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Approximation of Stable and Geometric Stable Distribution

Author

Listed:
  • Hassan Fallahgoul
  • S. M. Hashemiparast
  • Young Shin Kim
  • Svetlozar T. Rachev
  • Frank J. Fabozzi

Abstract

Although there has been increased interest in the application of the stable and geometric stable distributions in economics and finance, further application has been limited because their probability density function does not have an explicit solution. In this paper, we present three analytic approximation methods — homotopy perturbation method, Adomian decomposition method, and variational iteration method — to resolve this problem.

Suggested Citation

  • Hassan Fallahgoul & S. M. Hashemiparast & Young Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2012. "Approximation of Stable and Geometric Stable Distribution," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 1(3), pages 1-8.
  • Handle: RePEc:spt:stecon:v:1:y:2012:i:3:f:1_3_8
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    Cited by:

    1. Hassan A. Fallahgoul & Young S. Kim, 2014. "Elliptical Tempered Stable Distribution and Fractional Calculus," Papers 1408.3387, arXiv.org, revised Aug 2014.

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