Option pricing in incomplete markets modeling based on geometric Levy processes and minimal entropy Martingale measures /
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 e...
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| Format: | Electronic |
| Language: | English |
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London : Singapore :
Imperial College Press ; Distributed by World Scientific Pub. Co.,
c2012.
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| Online Access: | View fulltext via EzAccess |