Deformed exponentials and applications to finance (Q280540)
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scientific article; zbMATH DE number 6578341
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| English | Deformed exponentials and applications to finance |
scientific article; zbMATH DE number 6578341 |
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Deformed exponentials and applications to finance (English)
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10 May 2016
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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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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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0.8283202052116394
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0.7370051145553589
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0.7350636720657349
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0.7187133431434631
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0.7068191170692444
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