相关论文: Pricing principle via Tsallis relative entropy in …

In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems…

We demonstrate a fundamental principle of disturbance tradeoff for quantum measurements, along the lines of the celebrated uncertainty principle: The disturbances associated with measurements performed on distinct yet identically prepared…

The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…

We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our…

The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…

Based on the form invariance of the structures given by Khinchin's axiomatic foundations of information theory and the pseudoadditivity of the Tsallis entropy indexed by q, the concept of conditional entropy is generalized to the case of…

Quantum computers have the potential to provide an advantage for financial pricing problems by the use of quantum estimation. In a broader context, it is reasonable to ask about situations where the market and the assets traded on the…

"Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simple counterexample to this oversimplified statement. Prices…

A definition of the nonadditive (nonextensive) conditional entropy indexed by q is presented. Based on the composition law in terms of it, the Shannon-Khinchin axioms are generalized and the uniqueness theorem is established for the Tsallis…

We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a…

Based on the Tsallis entropy, the nonextensive thermodynamic properties are studied as a q-deformation of classical statistical results using only probabilistic methods and straightforward calculations. It is shown that the constant in the…

An entropic approach to formulating uncertainty relations for the number-annihilation pair is considered. We construct some normal operator that traces the annihilation operator as well as commuting quadratures with a complete system of…

This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…

In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…

In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…

The property of Tsallis entropy is examined when considering tow systems with different temperatures to be in contact with each other and to reach the thermal equilibrium. It is verified that the total Tsallis entropy of the two systems…

In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the…

We show that the lack of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures, together with an adapted process with…

We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers…

We study superreplication of European contingent claims in discrete time in a large trader model with market indifference prices recently proposed by Bank and Kramkov. We introduce a suitable notion of efficient friction in this framework,…