التفاصيل البيبلوغرافية
| العنوان: |
Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling |
| المؤلفون: |
Muhammad Sheraz, Vasile Preda, Silvia Dedu |
| المصدر: |
AIMS Mathematics, Vol 5, Iss 1, Pp 300-310 (2020) |
| بيانات النشر: |
AIMS Press, 2020. |
| سنة النشر: |
2020 |
| المجموعة: |
LCC:Mathematics |
| مصطلحات موضوعية: |
entropy, minimal entropy martingale, interest rate models, semi-markov processes, risk neutral density, Mathematics, QA1-939 |
| الوصف: |
A minimal entropy martingale measure problem is studied to investigate risk-neutral densities and interest rate modelling. Hunt & Devolder focused on the method of Shannon minimal entropy martingale measure to select the best measure among all the equivalent martingale measures and, proposed a generalization of the Ho & Lee model in the semi-Markov regime-switching framework [1]. We formulate and solve the optimization problem of Hunt & Devolder for deriving risk-neutral densities using a new non-extensive entropy measure [2]. We use the Lambert function and a new type of approach to obtain results without depending on stochastic calculus techniques. |
| نوع الوثيقة: |
article |
| وصف الملف: |
electronic resource |
| اللغة: |
English |
| تدمد: |
2473-6988 |
| Relation: |
https://www.aimspress.com/article/10.3934/math.2020020/fulltext.html; https://doaj.org/toc/2473-6988 |
| DOI: |
10.3934/math.2020020/fulltext.html |
| DOI: |
10.3934/math.2020020 |
| URL الوصول: |
https://doaj.org/article/3d8875c527ef45dda011169ecab3cc4f |
| رقم الانضمام: |
edsdoj.3d8875c527ef45dda011169ecab3cc4f |
| قاعدة البيانات: |
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