Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
Author:   Yoshio Miyahara (Nagoya City Univ, Japan)
Publisher:   Imperial College Press
Volume:   3
ISBN:  

9781848163478


Pages:   200
Publication Date:   23 November 2011
Format:   Hardback
Availability:   In Print   Availability explained
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Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures


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Overview

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.

Full Product Details

Author:   Yoshio Miyahara (Nagoya City Univ, Japan)
Publisher:   Imperial College Press
Imprint:   Imperial College Press
Volume:   3
Dimensions:   Width: 15.20cm , Height: 1.80cm , Length: 22.90cm
Weight:   0.499kg
ISBN:  

9781848163478


ISBN 10:   1848163479
Pages:   200
Publication Date:   23 November 2011
Audience:   College/higher education ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

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