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Option Pricing in Incomplete Markets: Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale (repost)

Posted By: libr
Option Pricing in Incomplete Markets: Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale (repost)

Option Pricing in Incomplete Markets: Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures (Series in Quantitative Finance, Book 3) by Yoshio Miyahara
English | 2011 | ISBN: 1848163479 | ISBN-13: 9781848163478 | 200 pages | PDF | 2,3 MB

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.