Option Pricing in Incomplete Markets
Modeling Based on Geometric Levy Processes and Minimal Entropy Martingale Measures (Series in Quantitative Finance)
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|Format:||Hardback, 200 pages|
|Published In: ||United Kingdom, 29 September 2020|
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.
Table of Contents
Basic Concepts in Mathematical Finance; Levy Processes and Geometric Levy Process Models; Equivalent Martingale Measures; Esscher Transformed Martingale Measures; Minimax Martingale Measures and Minimal Distance Martingale Measures; Minimal Distance Martingale Measures for Geometric Levy Processes; [GLP & MEMM] Pricing Models; Calibration and Fitness Analysis of [GLP & MEMM] Models.
|Publisher: ||Imperial College Press|