Next Article in Journal
Simulation Study on the Application of the Generalized Entropy Concept in Artificial Neural Networks
Next Article in Special Issue
Analytic Study of Complex Fractional Tsallis’ Entropy with Applications in CNNs
Previous Article in Journal
Diffusion Maximum Correntropy Criterion Based Robust Spectrum Sensing in Non-Gaussian Noise Environments
Previous Article in Special Issue
Generalized Pesin-Like Identity and Scaling Relations at the Chaos Threshold of the Rössler System
Open AccessArticle

Hedging for the Regime-Switching Price Model Based on Non-Extensive Statistical Mechanics

1
College of Finance and Mathematics, West Anhui University, Lu’an 237012, China
2
Financial Risk Intelligent Control and Prevention Institute of West Anhui University, Lu’an 237012, China
3
College of Mathematics and Computer Science, Gannan Normal University, Ganzhou 341000, China
4
School of Mathematics and Information Sciences, Henan Normal University, Xinxiang 453002, China
5
School of Economics and Management, Nanjing University of Science and Technology, Nanjing 210094, China
*
Author to whom correspondence should be addressed.
Entropy 2018, 20(4), 248; https://doi.org/10.3390/e20040248
Received: 13 March 2018 / Revised: 1 April 2018 / Accepted: 3 April 2018 / Published: 3 April 2018
(This article belongs to the Special Issue Nonadditive Entropies and Complex Systems)
To describe the movement of asset prices accurately, we employ the non-extensive statistical mechanics and the semi-Markov process to establish an asset price model. The model can depict the peak and fat tail characteristics of returns and the regime-switching phenomenon of macroeconomic system. Moreover, we use the risk-minimizing method to study the hedging problem of contingent claims and obtain the explicit solutions of the optimal hedging strategies. View Full-Text
Keywords: non-extensive statistics; hedging; risk-minimizing approach; Föllmer–Schweizer decomposition non-extensive statistics; hedging; risk-minimizing approach; Föllmer–Schweizer decomposition
MDPI and ACS Style

Zhao, P.; Pan, J.; Zhou, B.; Wang, J.; Song, Y. Hedging for the Regime-Switching Price Model Based on Non-Extensive Statistical Mechanics. Entropy 2018, 20, 248.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop