Sequential sampling for CGMY processes via decomposition of their time changes
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DOI: 10.1002/nav.21821
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References listed on IDEAS
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Cited by:
- Søren Asmussen, 2022. "On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance," Finance and Stochastics, Springer, vol. 26(3), pages 383-416, July.
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