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Entropy, Volume 3, Issue 5 (December 2001), Pages 293-324

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Open AccessArticle Some Divergence Properties of Asset Price Models
Entropy 2001, 3(5), 300-324; doi:10.3390/e3050300
Received: 15 August 2001 / Accepted: 20 December 2001 / Published: 20 December 2001
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Abstract
We 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
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We 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. Full article

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Open AccessNew Book Received Shape and Structure, from Engineering to Nature
Entropy 2001, 3(5), 293-294; doi:10.3390/e3050293
Received: 1 December 2001 / Published: 20 December 2001
Cited by 3 | PDF Full-text (23 KB) | HTML Full-text | XML Full-text
Open AccessNew Book Received Statistics in Genetics and in the Environmental Sciences.
Entropy 2001, 3(5), 295; doi:10.3390/e3050295
Received: 1 December 2001 / Published: 20 December 2001
PDF Full-text (6 KB)
Open AccessNew Book Received Labyrinth: A Search for The Hidden Meaning of Science.
Entropy 2001, 3(5), 296-297; doi:10.3390/e3050296
Received: 1 December 2001 / Published: 20 December 2001
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Open AccessBook Review In Our Own Image: Personal Symmetry in Discovery.
Entropy 2001, 3(5), 298-299; doi:10.3390/e3050298
Received: 1 December 2001 / Published: 20 December 2001
PDF Full-text (8 KB)

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