An Exact Method For Simulating Rapidly Decreasing Tempered Stable Distributions

TL;DR

This paper introduces an exact simulation method for rapidly decreasing tempered stable distributions, expanding the toolkit for financial modeling with a focus on finite variation cases.

Contribution

It provides the first exact simulation approach for rapidly decreasing tempered stable distributions, applicable to a broader class of p-RDTS distributions.

Findings

Exact simulation method developed for finite variation p-RDTS distributions

Method extends to a wider class of distributions beyond previous approaches

Facilitates more accurate financial modeling using these distributions

Abstract

Rapidly decreasing tempered stable distributions are useful models for financial applications. However, there has been no exact method for simulation available in the literature. We remedy this by introducing an exact simulation method in the finite variation case. Our methodology works for the wider class of $p$-RDTS distributions.