Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures (Series In Quantitative Fina

Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures (Series In Quantitative Fina

By: Yoshio Miyahara (author)Hardback

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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 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.

Contents

Basic Concepts in Mathematical Finance; Levy Processes and Geometric Levy Process Models; Equivalent Martingale Measures; Esscher Transformed Martingale Measures; Minimax Martingale Measures and Minimal Distance Martingale Measures; Minimal Distance Martingale Measures for Geometric Levy Processes; [GLP & MEMM] Pricing Models; Calibration and Fitness Analysis of [GLP & MEMM] Models.

Product Details

  • ISBN13: 9781848163478
  • Format: Hardback
  • Number Of Pages: 200
  • ID: 9781848163478
  • ISBN10: 1848163479

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