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

We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…

The objective of the paper is to price weather contracts using temperature as the underlying process when the later follows a mean-reverting dynamics driven by a time-changed Brownian motion coupled to a Gamma Levy subordinator and…

This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of…

We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabilities. In particular, futures imply returns for these implied…

We study the nonextensive thermodynamics for open systems. On the basis of the maximum entropy principle, the dual power-law q-distribution functions are re-deduced by using the dual particle number definitions and assuming that the…

We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neural networks used in the proposed algorithm provides for…

We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by…

This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically…

This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz about reduction of continuous martingales to Brownian motion via time change. We consider an idealized financial security with continuous price…

We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic…

We analyze the martingale selection problem of Rokhlin (2006) in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical no-arbitrage deliberations. We obtain versions…

We discuss the idea that the Tsallis-type (q-additive) entropic chain rule allows for a wider class of entropic functionals than previously thought. In particular, we point out that the ensuing entropy solutions (e.g., Tsallis entropy) can…

This paper investigates applicability of thermodynamic concepts and principles to competitive systems. We show that Tsallis entropies are suitable for characterisation of systems with transitive competition when mutations deviate from Gibbs…

We address an information-theoretic approach to noise and disturbance in quantum measurements. Properties of corresponding probability distributions are characterized by means of both the R\'{e}nyi and Tsallis entropies. Related…

We obtain option pricing formulas for stock price models in which the drift and volatility terms are functionals of a continuous history of the stock prices. That is, the stock dynamics follows a nonlinear stochastic functional differential…

Pinsker's and Fannes' type bounds on the Tsallis relative entropy are derived. The monotonicity property of the quantum $f$-divergence is used for its estimating from below. For order $\alpha\in(0,1)$, a family of lower bounds of Pinsker…

The nonextensive statistics based on Tsallis entropy have been so far used for the systems composed of subsystems having same $q$. The applicability of this statistics to the systems with different $q$'s is still a matter of investigation.…

In this paper, we study the martingale property for a Scott correlated stochastic volatility model, when the correlation coefficient between the Brownian motion driving the volatility and the one driving the asset price process is…

In the presence of non-convexities, the power market may not have an equilibrium price for power that provides economic stability of the centralized dispatch outcome. In this case, to achieve an economically stable outcome, the uplift…

A comparative study of one-dimensional quantum structures which allow analytic expressions for the position and momentum R\'{e}nyi $R(\alpha)$ and Tsallis $T(\alpha)$ entropies, focuses on extracting the most characteristic physical…