Essays about: "Additive Normal Tempered Stable Processes"
Found 1 essay containing the words Additive Normal Tempered Stable Processes.
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1. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : This thesis focuses on the parameter stability of additive normal tempered stable processes when calibrating a volatility surface. The studied processes arise as a generalization of Lévy normal tempered stable processes, and their main characteristic are their time-dependent parameters. READ MORE
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