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Some Divergence Properties of Asset Price Models
AbstractWe consider asset price processes Xt which are weak solutions of one-dimensional stochastic differential equations of the form (equation (2)) Such price models can be interpreted as non-lognormally-distributed generalizations of the geometric Brownian motion. We study properties of the Iα-divergence between the law of the solution Xt and the corresponding drift-less measure (the special case α=1 is the relative entropy). This will be applied to some context in statistical information theory as well as to arbitrage theory and contingent claim valuation. For instance, the seminal option pricing theorems of Black-Scholes and Merton appear as a special case.
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Stummer, W. Some Divergence Properties of Asset Price Models. Entropy 2001, 3, 300-324.View more citation formats
Stummer W. Some Divergence Properties of Asset Price Models. Entropy. 2001; 3(5):300-324.Chicago/Turabian Style
Stummer, Wolfgang. 2001. "Some Divergence Properties of Asset Price Models." Entropy 3, no. 5: 300-324.
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