Option Pricing in Incomplete Markets: Modeling Based on Geometric l'Evy Processes and Minimal Entropy Martingale Measures by Miyahara, Yoshio

Option Pricing in Incomplete Markets: Modeling Based on Geometric l'Evy Processes and Minimal Entropy Martingale Measures (Hardcover) (ISBN-13: 9781848163478)

Vendor: Yoshio Miyahara
Product type: Books
Format: Hardcover
$98.00
$98.00
$98.00
Subtotal: $98.00
Option Pricing in Incomplete Markets: Modeling Based on Geometric l'Evy Processes and Minimal Entropy Martingale Measures by Miyahara, Yoshio

Option Pricing in Incomplete Markets: Modeling Based on Geometric l'Evy Processes and Minimal Entropy Martingale Measures

$98.00
Option Pricing in Incomplete Markets: Modeling Based on Geometric l'Evy Processes and Minimal Entropy Martingale Measures by Miyahara, Yoshio

Option Pricing in Incomplete Markets: Modeling Based on Geometric l'Evy Processes and Minimal Entropy Martingale Measures

$98.00
Format: Hardcover
Description
Description
x
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 L vy 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.

Author: Yoshio Miyahara
ISBN-10: 1848163479
ISBN-13: 9781848163478
Publisher: Imperial College Press
Language: English
Published: 12/01/2011
Pages: 200
Format: Hardcover
Weight: 1.10lbs
Size: 9.00h x 6.00w x 0.70d

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