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Option pricing in incomplete markets: modeling based on geometric Lévy processes and minimal entropy Martingale measures

Option pricing in incomplete markets: modeling based on geometric Lévy processes and minimal entropy Martingale measures/ Yoshio Miyahara. -- London: Imperial College Press, 2012. xiv, 185 pages: illustrations; 24 cm
Call no. : 332.6453 M685
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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Từ khóa: Kinh tế, Quản lý

13 p ovanketv4 31/10/2024 77 0

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