Exact simulation for a class of tempered stable
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Cited by:
- Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2023. "Shot-noise cojumps: exact simulation and option pricing," LSE Research Online Documents on Economics 111537, London School of Economics and Political Science, LSE Library.
- Matteo Gardini & Piergiacomo Sabino & Emanuela Sasso, 2020. "Correlating L\'evy processes with Self-Decomposability: Applications to Energy Markets," Papers 2004.04048, arXiv.org, revised Jul 2020.
- Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2021. "Random variate generation for exponential and gamma tilted stable distributions," LSE Research Online Documents on Economics 108593, London School of Economics and Political Science, LSE Library.
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More about this item
Keywords
Monte Carlo simulation; Exact simulation; Backward recursive scheme; Stable distribution; Tempered stable distribution; Exponentially tilted stable distribution; Lévy process; Lévy subordinator; Leptokurtosis;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2018-04-16 (Computational Economics)
- NEP-ORE-2018-04-16 (Operations Research)
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