Recently Jeffreys–Tsallis and Jensen–Shannon–Tsallis divergences have been introduced, for which we establish new inequalities. Our results refine and generalize recent results in Tsallis theory and one respond to an interesting open problem dated since 2011.

We determine the minimal entropy martingale measure for a general class of stochastic volatility models where both price process and volatility process contain jump terms which are correlated. This generalizes previous studies which have treated either the geometric Lévy case or continuous...