Fast simulation of tempered stable Ornstein–Uhlenbeck processes
Work
Year: 2022
Type: article
Abstract: Constructing Lévy-driven Ornstein–Uhlenbeck processes is a task closely related to the notion of self-decomposability. In particular, their transition laws are linked to the properties of what will b... more
Source: Computational Statistics
Cites: 40
Cited by: 7
Related to: 10
FWCI: 1.794
Citation percentile (by year/subfield): 86.27
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $3,090