Deformed Exponentials and Applications to Finance
نویسنده
چکیده
We illustrate some financial applications of the Tsallis and Kaniadakis deformed exponential. The minimization of the corresponding deformed divergence is discussed as a criterion to select a pricing measure in the valuation problems of incomplete markets. Moreover, heavy-tailed models for price processes are proposed, which generalized the well-known Black and Scholes model.
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عنوان ژورنال:
- Entropy
دوره 15 شماره
صفحات -
تاریخ انتشار 2013