Deformed Exponentials and Applications to Finance

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… CONTINUE READING

1 Figure or Table



Citations per Year

Citation Velocity: 5

Averaging 5 citations per year over the last 3 years.

Learn more about how we calculate this metric in our FAQ.