Option Pricing in Incomplete Markets: Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures
| By: | Yoshio Miyahara |
| Publisher: | World Scientific Publishing |
| Print ISBN: | 9781848163478 |
| eText ISBN: | 9781848169180 |
| Edition: | 0 |
| Copyright: | 2012 |
| Format: | Reflowable |
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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.Sample Chapter(s)