Pricing of power European options based on Tsallis entropy and O-U process under stochastic interest rate

DOI10.13705/J.ISSN.1671-6841.2016261MaRDI QIDQ3132379zbMATH OpenFDO

Authors Yongmao Wang, Dan Li, Jing Wei

Publication date 29 January 2018

zbMATH Keywords

martingaleTsallis entropyVasicek interest rate modelO-U process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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