Search Results for author: Kum-Hwan Roh

Found 1 papers, 0 papers with code

Tempered Stable Processes with Time Varying Exponential Tails

no code implementations13 Jun 2020 Young Shin Kim, Kum-Hwan Roh, Raphael Douady

We can see that the stochastic exponential tail makes the model better to analyze the market option prices by the calibration.

Time Series Time Series Analysis

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