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 |
| Published: |
London : Singapore :
Imperial College Press ; Distributed by World Scientific Pub. Co.,
c2012.
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| Online Access: | View fulltext via EzAccess |
| 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 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. |
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| Physical Description: | xiv, 185 p. : ill. (some col.) |
| Bibliography: | Includes bibliographical references (p. 173-179) and index. |
| ISBN: | 9781848163485 (electronic bk.) |