Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
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A01=Yoshio Miyahara
Author_Yoshio Miyahara
Calibration of [GLP & MEMM] Models
Category=KFFM
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Incomplete Market
LAfA(C)vy Process
Levy Process
Lévy Process
Mathematical Finance
Minimal Entropy Martingale Measure
Option Pricing
Product details
- ISBN 9781848163478
- Publication Date: 23 Nov 2011
- Publisher: Imperial College Press
- Publication City/Country: GB
- Product Form: Hardback
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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.
