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  5. Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures

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

av Yoshio (Nagoya City Univ Miyahara

del av Series In Quantitative Finance-serien

Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures av Yoshio (Nagoya City Univ Miyahara
Om Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures

Offers the reader practical methods to compute the option prices in the incomplete asset markets. This title shows 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. It also introduces the [GLP \& MEMM] pricing models.

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  • Språk:
  • Engelska
  • ISBN:
  • 9781848163478
  • Format:
  • Inbunden
  • Sidor:
  • 200
  • Utgiven:
  • 23. november 2011
  • Mått:
  • 229x159x18 mm.
  • Vikt:
  • 484 g.
  Fri leverans
Leveranstid: 2-4 veckor
Förväntad leverans: 19. december 2024
Förlängd ångerrätt till 31. januari 2025

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Offers the reader practical methods to compute the option prices in the incomplete asset markets. This title shows 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. It also introduces the [GLP \& MEMM] pricing models.

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