Deformed exponentials and applications to finance

DOI10.3390/e15093471zbMath1422.91725OpenAlexW2081026705MaRDI QIDQ280540

Barbara Trivellato

Publication date: 10 May 2016

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e15093471

zbMATH Keywords

martingale measuregeneralized entropydeformed exponentialdeformed logarithmgeneralized Fokker-Plank equationnon-Gaussian option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Measures of information, entropy (94A17) Exponential and trigonometric functions (33B10) Fokker-Planck equations (35Q84)

Related Items (14)

On Tsallis and Kaniadakis divergences ⋮ New classes of Lorenz curves by maximizing Tsallis entropy under mean and Gini equality and inequality constraints ⋮ Option pricing under deformed Gaussian distributions ⋮ Tsallis and Rényi divergences of generalized Jacobi polynomials ⋮ Examples of the application of nonparametric information geometry to statistical physics ⋮ Theoretical foundations and mathematical formalism of the power-law tailed statistical distributions ⋮ Applications of entropy in finance: a review ⋮ Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling ⋮ On the \(\kappa\)-deformed cyclic functions and the generalized Fourier series in the framework of the \(\kappa\)-algebra ⋮ Conditions for the existence of a generalization of Rényi divergence ⋮ A projection pricing model for non-Gaussian financial returns ⋮ Some generalizations concerning inaccuracy measures ⋮ New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models ⋮ Information Geometry in Portfolio Theory

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