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120208s2012 enka sb 001 0 eng d |
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|a 9781848163485 (electronic bk.)
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|z 1848163479
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|z 9781848163478
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|a WSPC
|b eng
|c WSPC
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|a 332.63228
|2 23
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|a Miyahara, Yoshio,
|d 1944-
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|a Option pricing in incomplete markets
|b modeling based on geometric Levy processes and minimal entropy Martingale measures /
|c Yoshio Miyahara.
|h [electronic resource] :
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| 260 |
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|a London :
|a Singapore :
|b Imperial College Press ;
|b Distributed by World Scientific Pub. Co.,
|c c2012.
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| 300 |
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|a xiv, 185 p. :
|b ill. (some col.)
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| 504 |
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|a Includes bibliographical references (p. 173-179) and index.
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|a 1. Basic concepts in mathematical finance. 1.1. Price processes. 1.2. No-arbitrage and Martingale measures. 1.3. Complete and incomplete markets. 1.4. Fundamental theorems. 1.5. The Black-Scholes model. 1.6. Properties of the Black-Scholes model. 1.7. Generalization of the Black-Scholes model -- 2. Levy processes and geometric Levy process models. 2.1. Levy processes. 2.2. Geometric Levy process models. 2.3. Doleans-Dade exponential -- 3. Equivalent Martingale measures. 3.1. Equivalent Martingale measure methods. 3.2. Equivalent Martingale measures for geometric Levy processes. 3.3. Methods for construction of Martingale measures -- 4. Esscher-transformed Martingale measures. 4.1. Esscher transformation. 4.2. Esscher-transformed Martingale measure for geometric Levy processes. 4.3. Existence theorems of P(ESSMM) and P[symbol](ESSMM) for geometric Levy processes. 4.4. Comparison of P(ESSMM) and P[symbol](ESSMM). 4.5. Other examples of Esscher-transformed Martingale measures -- 5. Minimax Martingale measures and minimal distance Martingale measures. 5.1. Utility function, duality, and minimax Martingale measures. 5.2. Distance function corresponding to utility function. 5.3. Minimal distance Martingale measures -- 6. Minimal distance Martingale measures for geometric Levy processes. 6.1. Minimal distance problem. 6.2. The Minimal Variance Equivalent Martingale Measure (MVEMM). 6.3. The Minimal L[symbol] equivalent Martingale measure. 6.4. Minimal entropy Martingale measures. 6.5. Convergence of ML[symbol]EMM to MEMM (as q [symbol] 1) -- 7. The [GLP & MEMM] pricing model. 7.1. The model. 7.2. Examples of [GLP & MEMM] pricing model. 7.3. Why the geometric Levy process? 7.4. Why the MEMM? 7.5. Comparison of equivalent Martingale measures for geometric Levy processes. 7.6. The explicit form of Levy measure of Z[symbol] under an equivalent Martingale measure -- 8. Calibration and fitness analysis of the [GLP & MEMM] mode. 8.1. The physical world and the MEMM world. 8.2. Reproducibility of volatility smile/smirk property of the [GLP & MEMM] model. 8.3. Calibration of [GLP & MEMM] pricing model. 8.4. Fitness analysis -- 9. The [GSP & MEMM] pricing model. 9.1. The physical world and the MEMM world. 9.2. Calibration by the [GSP & MEMM] pricing model. 9.3. Application of the calibrated process to dollar-yen currency options -- 10. The multi-dimensional [GLP & MEMM] pricing model. 10.1. Multi-dimensional Levy processes. 10.2. Multi-dimensional geometric Levy processes. 10.3. Esscher MM and MEMM. 10.4. Application to portfolio evaluation. 10.5. Risk-sensitive evaluation of growth rate.
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| 520 |
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|a 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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| 533 |
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|a Electronic reproduction.
|b Singapore :
|c World Scientific Publishing Co.,
|d 2012.
|n System requirements: Adobe Acrobat Reader.
|n Mode of access: World Wide Web.
|n Available to subscribing institutions.
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| 650 |
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|a Options (Finance)
|x Prices.
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|a Stock options.
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|a Electronic books.
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|a World Scientific (Firm)
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|z 1848163479
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|z 9781848163478
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|z View fulltext via EzAccess
|u https://ezaccess.library.uitm.edu.my/login?url=http://www.worldscientific.com/worldscibooks/10.1142/P622#t=toc
|