THE MINIMAL κ-ENTROPY MARTINGALE MEASURE

DOI10.1142/S0219024912500380zbMath1262.91075OpenAlexW2007194382MaRDI QIDQ3166715

Barbara Trivellato

Publication date: 15 October 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500380

zbMATH Keywords

relative entropyasset pricingincomplete markets\(q\)-optimal martingale measure\(\kappa \)-exponentialrelative \(\kappa \)-entropy

Mathematics Subject Classification ID

Related Items (13)

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 ⋮ Deformed exponentials and applications to finance ⋮ 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 ⋮ \(\kappa\)-deformed Fourier transform ⋮ Some generalizations concerning inaccuracy measures ⋮ New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models ⋮ Thermodynamic geometry of Kaniadakis statistics

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