Deformed exponentials and applications to finance (Q280540): Difference between revisions

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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zbMATH Keywords

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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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3390/e15093471

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cites work

Possible generalization of Boltzmann-Gibbs statistics.

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Non-linear kinetics underlying generalized statistics

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Statistical-Mechanical Foundation of the Ubiquity of Lévy Distributions in Nature

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Introduction to Nonextensive Statistical Mechanics

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H-theorem and generalized entropies within the framework of nonlinear kinetics

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Maximum entropy principle and power-law tailed distributions

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\(\kappa \)-exponential models from the geometrical viewpoint

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Financial market dynamics

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The \(K\)-deformed multinomial logit model

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On option pricing models in the presence of heavy tails

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\(\kappa \)-generalized statistics in personal income distribution

0 references

A new model of income distribution: the \(\kappa \)-generalized distribution

0 references

A maximum (non-extensive) entropy approach to equity options bid-ask spread

0 references

Q3815091

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Minimum-Relative-Entropy Calibration of Asset-Pricing Models

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THE MINIMAL κ-ENTROPY MARTINGALE MEASURE

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The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure

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The Pricing of Options and Corporate Liabilities

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Q3374309

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

0 references

Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing

0 references

An infinite-dimensional statistical manifold modelled on Hilbert space

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On \(\varphi \)-families of probability distributions

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Q3675305

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I-divergence geometry of probability distributions and minimization problems

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Q4213415

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On the Convergence of the<i>p</i>-Optimal Martingale Measures to the Minimal Entropy Martingale Measure

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Asymptotic solutions of a nonlinear diffusive equation in the framework of \(\kappa \)-generalized statistical mechanics

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EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS

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Q3010733

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Identifiers

zbMATH Open document ID

1422.91725

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DOI

10.3390/e15093471

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:280540

@@ Property / review text @@
+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.
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B10
@@ Property / Mathematics Subject Classification ID: 33B10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+Q84
@@ Property / Mathematics Subject Classification ID: 35Q84 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+A17
@@ Property / Mathematics Subject Classification ID: 94A17 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6578341
@@ Property / zbMATH DE Number: 6578341 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+deformed logarithm
@@ Property / zbMATH Keywords: deformed logarithm / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+deformed exponential
@@ Property / zbMATH Keywords: deformed exponential / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+generalized entropy
@@ Property / zbMATH Keywords: generalized entropy / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+martingale measure
@@ Property / zbMATH Keywords: martingale measure / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+generalized Fokker-Plank equation
@@ Property / zbMATH Keywords: generalized Fokker-Plank equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+non-Gaussian option pricing
@@ Property / zbMATH Keywords: non-Gaussian option pricing / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.3390/e15093471
@@ Property / full work available at URL: https://doi.org/10.3390/e15093471 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2081026705
@@ Property / OpenAlex ID: W2081026705 / rank @@
+Normal rank
@@ Property / cites work @@
+Possible generalization of Boltzmann-Gibbs statistics.
+Normal rank
@@ Property / cites work @@
+Non-linear kinetics underlying generalized statistics
+Normal rank
@@ Property / cites work @@
+Statistical-Mechanical Foundation of the Ubiquity of Lévy Distributions in Nature
+Normal rank
@@ Property / cites work @@
+Introduction to Nonextensive Statistical Mechanics
+Normal rank
@@ Property / cites work @@
+H-theorem and generalized entropies within the framework of nonlinear kinetics
+Normal rank
@@ Property / cites work @@
+Maximum entropy principle and power-law tailed distributions
+Normal rank
@@ Property / cites work @@
+\(\kappa \)-exponential models from the geometrical viewpoint
+Normal rank
@@ Property / cites work @@
+Financial market dynamics
@@ Property / cites work: Financial market dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+The \(K\)-deformed multinomial logit model
@@ Property / cites work: The \(K\)-deformed multinomial logit model / rank @@
+Normal rank
@@ Property / cites work @@
+On option pricing models in the presence of heavy tails
+Normal rank
@@ Property / cites work @@
+\(\kappa \)-generalized statistics in personal income distribution
+Normal rank
@@ Property / cites work @@
+A new model of income distribution: the \(\kappa \)-generalized distribution
+Normal rank
@@ Property / cites work @@
+A maximum (non-extensive) entropy approach to equity options bid-ask spread
+Normal rank
@@ Property / cites work @@
+Q3815091
@@ Property / cites work: Q3815091 / rank @@
+Normal rank
@@ Property / cites work @@
+Minimum-Relative-Entropy Calibration of Asset-Pricing Models
+Normal rank
@@ Property / cites work @@
+THE MINIMAL κ-ENTROPY MARTINGALE MEASURE
@@ Property / cites work: THE MINIMAL κ-ENTROPY MARTINGALE MEASURE / rank @@
+Normal rank
@@ Property / cites work @@
+The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q3374309
@@ Property / cites work: Q3374309 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+An infinite-dimensional statistical manifold modelled on Hilbert space
+Normal rank
@@ Property / cites work @@
+On \(\varphi \)-families of probability distributions
+Normal rank
@@ Property / cites work @@
+Q3675305
@@ Property / cites work: Q3675305 / rank @@
+Normal rank
@@ Property / cites work @@
+I-divergence geometry of probability distributions and minimization problems
+Normal rank
@@ Property / cites work @@
+Q4213415
@@ Property / cites work: Q4213415 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Convergence of the<i>p</i>-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
+Normal rank
@@ Property / cites work @@
+Asymptotic solutions of a nonlinear diffusive equation in the framework of \(\kappa \)-generalized statistical mechanics
+Normal rank
@@ Property / cites work @@
+EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS
+Normal rank
@@ Property / cites work @@
+Q3010733
@@ Property / cites work: Q3010733 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:280540