Exact Simulation from Tempered Stable Distributions with Infinite Variation ($α\ge1$)
Abstract
We develop the first exact and computationally tractable method for simulating from tempered stable distributions in the infinite variation case, which corresponds to $α\in[1,2)$. A small simulation study shows that the approach works well.
Fields of Study & Subjects
Markov Chains and Monte Carlo Methods
Simulation Techniques and Applications
Stochastic processes and financial applications
Publication details
- Journal / source
- arXiv (Cornell University)
- Publication date
- 20 April 2026
- Document type
- Preprint