Archivio Istituzionale della RicercaWe 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.
Deformed Exponentials and Applications to Finance / Trivellato, Barbara. - In: ENTROPY. - ISSN 1099-4300. - ELETTRONICO. - 15:9(2013), pp. 3471-3489. [10.3390/e15093471]
Deformed Exponentials and Applications to Finance
TRIVELLATO, BARBARA
2013
Abstract
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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https://hdl.handle.net/11583/2513818
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