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Option Pricing in Incomplete Markets: Modeling Based on Geometric L?y Processes and Minimal Entropy Martingale Measures (Series in Quantitative Finance)
Yoshio Miyahara
Hardcover. Imperial College Press 2009-07-31.
ISBN 9781848163478
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Förlagets beskrivning
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
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Option Pricing in Incomplete Markets: Modeling Based on Geometric L?y Processes and Minimal Entropy Martingale Measures
Bokrecensioner » Option Pricing in Incomplete Markets: Modeling Based on Geometric L?y Processes and Minimal Entropy Martingale Measures (Series in Quantitative Finance)
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