Option pricing in incomplete markets : modeling based on geometric Levy processes and minimal entropy martingale measures /
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 e...
Основен автор: | Miyahara, Yoshio. |
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Формат: | Електронна книга |
Език: | English |
Публикувано: |
London :
Imperial College Press,
2012.
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Серия: |
Series in quantitative finance ;
v. 3. |
Предмети: | |
Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=516760 |
Подобни документи: |
Print version:Miyahara, Yoshio, 1944-:
Option pricing in incomplete markets. |
Резюме: |
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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Физически характеристики: |
1 online resource (xiv, 185 pages). |
Библиография: |
Includes bibliographical references and index. |
ISBN: |
9781848163485 1848163487 1299672191 9781299672192 |
ISSN: |
1756-1604 ; |