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OPTION PRICING IN INCOMPLETE MARKETS(V3): Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures

By Yoshio Miyahara
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$39.00
By Yoshio Miyahara
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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] mo...

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Science & TechnologyMathematicsMathematics - Applied