Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
975450 | Physica A: Statistical Mechanics and its Applications | 2014 | 10 Pages |
Abstract
In this paper we construct the minimal entropy martingale for semi-Markov regime switching interest rate models using some general entropy measures. We prove that, for the one-period model, the minimal entropy martingale for semi-Markov processes in the case of the Tsallis and Kaniadakis entropies are the same as in the case of Shannon entropy.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Vasile Preda, Silvia Dedu, Muhammad Sheraz,