Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
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Publication:5886365
DOI10.1137/22M1471614OpenAlexW4319346991MaRDI QIDQ5886365
Publication date: 31 March 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2201.05316
Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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