Pricing of European option based on Tsallis entropy and update process

MaRDI QIDQ4690758zbMATH OpenFDO

Authors Boya Jiao, Yongmao Wang

Publication date 22 October 2018

zbMATH Keywords

renewal processoption pricingmartingaleTsallis entropyItô formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Martingales with continuous parameter (60G44)

Recommendations

• Pricing of power European options based on Tsallis entropy and O-U process under stochastic interest rate
• Pricing of power options based on Tsallis distribution and O-U process
• scientific article; zbMATH DE number 7235426
• Pricing of financial derivatives based on the Tsallis statistical theory
• Maximum entropy method for option pricing

Cited in

(4)

• Pricing of power European options based on Tsallis entropy and O-U process under stochastic interest rate
• scientific article; zbMATH DE number 7235426 (Why is no real title available?)
• Pricing of financial derivatives based on the Tsallis statistical theory
• Pricing of power options based on Tsallis distribution and O-U process

This page was built for publication: Pricing of European option based on Tsallis entropy and update process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4690758)