Integral and asymptotic representations of geo-stable densities

Applied Mathematics Letters

Volumn 9, Issue 6, 1996, Pages 37-40

  Klebanov, L B ^a   Melamed, J A ^b   Mittnik, S ^c   Rachev, S T ^d  

^a ST PETERSBURG STATE UNIVERSITY   (Russian Federation)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^c UNIVERSITY OF KIEL   (Germany)

^d UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Asymptotic expansion; Characteristic function; Financial modeling; Geometric stable distribution; Probability density function

Indexed keywords

EID: 0003143756     PISSN: 08939659     EISSN: None     Source Type: Journal    
DOI: 10.1016/0893-9659(96)00091-2     Document Type: Article

References (9)

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3. S. Mittnik and S.T. Rachev, Financial Modeling and Option Pricing with Alternative Stable Models, Wiley & Sons, (in preparation), Chichester.
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8. T.J. Kozubowski, Representation and properties of geometric-stable laws, In Approximation, Probability and Related Fields, (Edited by G. Anastassiou and S.T. Rachev), pp. 321-327, Plenum, New York, (1994).
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