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

DOI10.13705/J.ISSN.1671-6841.2016261zbMATH Open1389.91116MaRDI QIDQ3132379FDOQ3132379

Authors: Yongmao Wang, Dan Li, Jing Wei 

Publication date: 29 January 2018

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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)

Cited In (4)

• Title not available (Why is that?)
• Pricing of European option based on Tsallis entropy and update process
• Title not available (Why is that?)
• Pricing of power options based on Tsallis distribution and O-U process

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