Preda, Vasile; Dedu, Silvia; Sheraz, Muhammad - In: Physica A: Statistical Mechanics and its Applications 407 (2014) C, pp. 350-359
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...
