Option pricing in incomplete markets : modeling based on geometric Lâevy processes and minimal entropy martingale measures

Title:

Author:

Miyahara, Yoshio, 1944-.

ISBN:

9781848163478

Publication Information:

London : Imperial College Press, 2012.

Physical Description:

xiv, 185 s. : ill.

Series:

Series in quantitative finance ; 3

Series in quantitative finance; 3

Abstract:

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 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. This volume also presents the calibration procedure of the [GLP & MEMM] model that has been widely used in the application of practical problems.

Subject Term:

Options (Finance) -- Prices.

Stock options.

Added Author:

Miyahara, Yoshio, 1944-.

Copies:

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Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025579729	332.63228 M685.O 2012	1	Searching... Unknown

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Summary

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.