A construction of equivalent martingale measures in a regime-switching model

DOI10.3969/J.ISSN.1005-3085.2015.04.001MaRDI QIDQ3461111zbMATH OpenFDO

Authors Pan Zhao, Qingxian Xiao

Publication date 15 January 2016

zbMATH Keywords

equivalent martingale measureTsallis entropyMarkov switching

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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