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some divergence properties of asset price models一些发散性质的资产价格模型
En tropy 2001 , 3 , 300{324
entropy
ISSN 1099-4300
/entropy/
Some Divergence Prop erties of Asset Price Mo d-
els
Wolfgang Stummer
Department of Mathematical Sto chastics
University of Karlsruhe
Englerstrasse 2
D { 76128 Karlsruhe, Germany
E-mail: stummer@math.uni-karlsruhe.de
URL: http://msp cdip.mathematik.uni-karlsruhe.de/p ersonen/stummer/stummer.html
Received: 15 August 2001 / Accepted: 20 Decem b er 2001 / Published: 20 Decem b er 2001
Abstract: We consider asset price pro cesses Xt which are weak solutions of one-
dimensional sto chastic di erential equations of the form
dX = b (t; X ) dt + X dW :
t t t t t
Such price mo dels can b e interpreted as non{lognormally{distributed generalizations
of the geometric Brownian motion. We study prop erties of the I divergence b etween
the law of the solution Xt and the corresp onding drift{less measure (the sp ecial case
= 1 is the relative entropy). This will b e 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 app ear as
a sp ecial case.
Keywords: I divergence; relative entropy; statistical information; equivalent mar-
tingale measure; option pricing; Black-Scholes-Merton.
c
2001 by the author. Repro duction for noncommercial purp oses p ermitted.
En tropy 2001 , 3
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