Journal
STATISTICS & PROBABILITY LETTERS
Volume 170, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.spl.2020.109015
Keywords
Tempered stable; RDTS; Simulation
Categories
Funding
- Russian Science Foundation [17-11-01098]
- Russian Science Foundation [17-11-01098] Funding Source: Russian Science Foundation
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Rapidly decreasing tempered stable (RDTS) distributions are beneficial for financial applications, but there is currently no exact simulation method available. This paper introduces an exact simulation method for the finite variation case, which also applies to a wider class of p-RDTS distributions.
Rapidly decreasing tempered stable (RDTS) distributions are useful models for financial applications. However, there has been no exact method for simulation available in the literature. We remedy this by introducing an exact simulation method in the finite variation case. Our methodology works for the wider class of p-RDTS distributions. (C) 2020 Elsevier B.V. All rights reserved.
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