New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models

DOI10.1016/j.physa.2014.04.011zbMath1402.91834OpenAlexW2088311961MaRDI QIDQ1782903

Silvia Dedu, Muhammad Sheraz, Vasile C. Preda

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.04.011

zbMATH Keywords

regime switchingTsallis entropymartingale measuresemi-Markov processKaniadakis entropybinomial option pricing

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Markov renewal processes, semi-Markov processes (60K15) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

On Tsallis and Kaniadakis divergences ⋮ New classes of Lorenz curves by maximizing Tsallis entropy under mean and Gini equality and inequality constraints ⋮ The validity of the third law of thermodynamics for the Rényi and homogeneous entropies ⋮ Option pricing under deformed Gaussian distributions ⋮ Tsallis and Rényi divergences of generalized Jacobi polynomials ⋮ Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling ⋮ Some generalizations concerning inaccuracy measures ⋮ The parameter space and third law of thermodynamics for the Borges–Roditi, Abe and Sharma–Mittal entropies

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