Cumulant Approach of Arbitrary Truncated Levy Flight - Quantitative Finance > Statistical FinanceReportar como inadecuado




Cumulant Approach of Arbitrary Truncated Levy Flight - Quantitative Finance > Statistical Finance - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

Abstract: The problem of an arbitrary truncated Levy flight description using themethod of cumulant approach has been solved. The set of cumulants of thetruncated Levy distribution given the assumption of arbitrary truncation hasbeen found. The influence of truncation shape on the truncated Levy flightproperties in the Gaussian and the Levy regimes has been investigated.



Autor: Dmitry V. Vinogradov

Fuente: https://arxiv.org/







Documentos relacionados