Approximation of Stable and Geometric Stable Distribution

Hasan Fallahgoul, S. M. Hashemiparast, Young S Kim, Svetlozar Rachev, Frank J Fabozzi

Research output: Contribution to journalArticleResearchpeer-review

Abstract

Although there has been increased interest in the application of the stable and geometric stable distributions in economics and finance, further application has been limited because their probability density function does not have an explicit solution. In this paper, we present three analytic approximation methods — homotopy perturbation method, Adomian decomposition method, and variational iteration method — to resolve this problem.
Original languageEnglish
Number of pages27
JournalJournal of Statistical and Econometric Methods
Volume1
Issue number3
Publication statusPublished - 30 Nov 2012
Externally publishedYes

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