# 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} }

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…

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