In this study, we investigate the performance of different parametric models with stable and
tempered stable distributions for capturing the tail behaviour of log-returns (financial asset …

After formally introducing the notion of random variable and some related concepts, in this
chapter we look at discrete and absolutely continuous random variables. We focus our …

American option pricing is an important and engaging area of financial economics,
particularly so in the presence of negative interest rates. Quanto options offer major …

This paper proposes a market model with returns assumed to follow a multivariate normal
tempered stable distribution defined by a mixture of the multivariate normal distribution and …

In this paper, we study the pricing problems of the European quanto options in which the
underlying foreign asset is in imperfectly liquid markets. First, we assume that the dynamics …

In this study, we suggest a portfolio selection framework based on time series of stock log-
returns, option-implied information, and multivariate non-Gaussian processes. We …

We derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly
follow a multivariate tempered stable distribution. These lead to processes that are more …

Rapidly decreasing tempered stable (RDTS) distributions are useful models for financial
applications. However, there has been no exact method for simulation available in the …

In this paper, we derive risk-neutral density functions of multi-asset to model the price of
European options by incorporating a simple constrained minimization of the Kullback …

In this paper we describe a methodology for parameter estimation of multivariate
distributions defined as normal mean-variance mixture where the mixing random variable is …