Deformed exponentials and applications to finance

DOI10.3390/E15093471zbMATH Open1422.91725OpenAlexW2081026705MaRDI QIDQ280540FDOQ280540

Authors: Barbara Trivellato 

Publication date: 10 May 2016

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e15093471

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zbMATH Keywords

deformed exponentialmartingale measuregeneralized entropydeformed logarithmgeneralized Fokker-Plank equationnon-Gaussian option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Measures of information, entropy (94A17) Fokker-Planck equations (35Q84) Exponential and trigonometric functions (33B10)

Cites Work

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Cited In (15)

• Tsallis and Rényi divergences of generalized Jacobi polynomials
• Examples of the application of nonparametric information geometry to statistical physics
• Applications of entropy in finance: a review
• Theoretical foundations and mathematical formalism of the power-law tailed statistical distributions
• New classes of Lorenz curves by maximizing Tsallis entropy under mean and Gini equality and inequality constraints
• Option pricing under deformed Gaussian distributions
• Conditions for the existence of a generalization of Rényi divergence
• New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models
• On the \(\kappa\)-deformed cyclic functions and the generalized Fourier series in the framework of the \(\kappa\)-algebra
• On Tsallis and Kaniadakis divergences
• Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling
• Information geometry in portfolio theory
• A projection pricing model for non-Gaussian financial returns
• Matched asymptotic expansions in financial engineering
• Some generalizations concerning inaccuracy measures

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