Variance-Optimal Hedging for the Process Based on Non-Extensive Statistical Mechanics and Poisson Jumps
نویسندگان
چکیده
منابع مشابه
Hedging for the Regime-Switching Price Model Based on Non-Extensive Statistical Mechanics
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 ob...
متن کاملMean-Variance Hedging When There Are Jumps
In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem and closed form expressions for the optimal hedging policy are obtained using methods from stochastic control and th...
متن کاملSemi-static Hedging of Barrier Options under Poisson Jumps
We show that the payoff to barrier options can be replicated when the underlying price process is driven by the difference of two independent Poisson processes. The replicating strategy employs simple semi-static positions in co-terminal standard options. We note that classical dynamic replication using just the underlying asset and a riskless asset is not possible in this context. When the und...
متن کاملExtensive Generalization of Statistical Mechanics Based on Incomplete Information Theory
Statistical mechanics is generalized on the basis of an additive information theory for incomplete probability distributions. The incomplete normalization is used to obtain generalized entropy . The concomitant incomplete statistical mechanics is applied to some physical systems in order to show the effect of the incompleteness of information. It is shown that this extensive generalized statist...
متن کاملScale Invariance and Symmetry Relationships In Non-Extensive Statistical Mechanics
This article extends results described in a recent article detailing a structural scale invariance property of the simulated annealing (SA) algorithm. These extensions are based on generalizations of the SA algorithm based on Tsallis statistics and a non-extensive form of entropy. These scale invariance properties show how arbitrary aggregations of energy levels retain certain mathematical char...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Acta Physica Polonica A
سال: 2016
ISSN: 0587-4246,1898-794X
DOI: 10.12693/aphyspola.129.1252