Deformed Exponentials and Applications to Finance

Entropy

关键词: deformed logarithm;    deformed exponential;    generalized entropy;    martingale measure;    generalized Fokker-Plank equation;    non-Gaussian option pricing;   

DOI  :  10.3390/e15093471

来源: mdpi

【 摘 要 】

We illustrate some financial applications of the Tsallis and Kaniadakis deformed exponential. The minimization of the corresponding deformed divergence is discussed as a criterion to select a pricing measure in the valuation problems of incomplete markets. Moreover, heavy-tailed models for price processes are proposed, which generalized the well-known Black and Scholes model.

【 授权许可】

CC BY   
© 2013 by the author; licensee MDPI, Basel, Switzerland.