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- Author: Yoshio Miyahara
- Publisher: Imperial College Press
- Year: 2011
- Pages: 185
- ISBN-10: 1848163479
- ISBN-13: 9781848163478
- Format: 15.2 x 22.9 x 1.8 cm, hardcover
- Language: English
- SAVE -10% with code: EXTRA
Option Pricing in Incomplete Markets: Modeling Based on Geometric l'Evy Processes and Minimal Entropy Martingale Measures (e-book) (used book) | bookbook.eu
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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 Lévy 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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- Author: Yoshio Miyahara
- Publisher: Imperial College Press
- Year: 2011
- Pages: 185
- ISBN-10: 1848163479
- ISBN-13: 9781848163478
- Format: 15.2 x 22.9 x 1.8 cm, hardcover
- Language: English English
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 Lévy 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.
Reviews