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.