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  3. Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures (e-bog) af Yoshio Miyahara, Miyahara
Yoshio Miyahara, Miyahara (forfatter)

Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures e-bog

288,10 DKK (inkl. moms 360,12 DKK)
This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Levy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extreme...
E-bog 288,10 DKK
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Forfattere Yoshio Miyahara, Miyahara (forfatter)
Forlag Imperial College Press
Udgivet 22 november 2011
Længde 200 sider
Genrer Investment and securities
Sprog English
Format pdf
Beskyttelse LCP
ISBN 9781848169180

Beskrivelse

This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Levy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure.This volume also presents the calibration procedure of the [GLP & MEMM] model that has been widely used in the application of practical problems.