Option pricing in incomplete markets: modeling based on geometric l'evy processes and minimal entropy martingale measures
Auteur :
Miyahara, Yoshio
Éditeur :
Imperial College Press
ISBN :
9781848163478
Date de publication :
23 nov. 2011
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.