Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
Author:
Affiliation:
1. School of Mathematics, China University of Mining and Technology, Xuzhou, Jiangsu, 221116, China.
Funder
National Natural Science Foundation of China
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Reference42 articles.
1. Quadratic BSDE with $\mathbb{L}^{2}$-terminal data: Krylov’s estimate, Itô–Krylov’s formula and existence results
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