Computing the probability density function of the stable Paretian distribution

Authors:
S. Mittnik;T. Doganoglu;D. Chenyao
Affiliations:
Institute of Statistics and Econometrics Christian Albrechts University at Kiel Olshausenstr. 40, D-24098 Kiel, Germany;Institute of Statistics and Econometrics Christian Albrechts University at Kiel Olshausenstr. 40, D-24098 Kiel, Germany;Equities Department, New York Stock Exchange 11 Wall Street, New York, NY 10005, U.S.A.
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
1999

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Abstract

The practical implementation of a stable Paretian model is a nontrivial task, because-with the exception of a few special cases-its probability density function cannot be expressed analytically. Here, we present an algorithm for calculating the probability density function of the asymmetric stable Paretian distribution. Due to the use of the Fast Fourier Transform, the algorithm is computationally efficient, easily implemented, and of similar accuracy as existing algorithms.