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OPTION PRICING IN INCOMPLETE MARKETS: MODELING BASED ON GEOMETRIC L'EVY PROCESSES AND MINIMAL ENTROPY MARTINGALE MEASURES: 3
Author(s): MIYAHARA YOSHIO (Author)
- Publisher: Imperial College Press
- Publication Date: 22 Jan. 2012
- Edition: Illustrated
- Language: English
- Print length: 200 pages
- ISBN-10: 1848163479
- ISBN-13: 9781848163478
Book Description
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.
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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 Lvy 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.
