• Corpus ID: 245986545

Pricing principle via Tsallis relative entropy in incomplete market

@inproceedings{Tian2022PricingPV,
  title={Pricing principle via Tsallis relative entropy in incomplete market},
  author={Dejian Tian},
  year={2022}
}
  • D. Tian
  • Published 14 January 2022
  • Mathematics
A pricing principle is proposed for non-attainable q-exponential bounded contingent claims in an incomplete Brownian motion market setting. This pricing functional is compatible with prices for attainable claims, and it is defined by the solution of a specific quadratic backward stochastic differential equation (BSDE). Except translation invariance, the pricing principle processes lots of elegant properties, such as monotonicity, time consistency, concavity etc. Tsallis relative entropy theory… 
2 Citations
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