Deformed exponentials and applications to finance (Q280540)
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scientific article; zbMATH DE number 6578341
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Deformed exponentials and applications to finance |
scientific article; zbMATH DE number 6578341 |
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Deformed exponentials and applications to finance (English)
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10 May 2016
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Summary: 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.
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deformed logarithm
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deformed exponential
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generalized entropy
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martingale measure
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generalized Fokker-Plank equation
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non-Gaussian option pricing
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