Home » Books » Business » Finance
Option Pricing in Incomplete Markets
http://www.fishpond.co.nz/Books/Option-Pricing-Incomplete-Markets-Yoshio-Miyahara/9781848163478
Modeling Based on Geometric Levy Processes and Minimal Entropy Martingale Measures (Series in Quantitative Finance)
By
Yoshio Miyahara
$98.44
Price includes NZ wide delivery! Ships from USA supplier | Rating: | | | 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 ContentsBasic 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 | | ISBN: | 1848163479 |
| EAN: | 9781848163478 |
|
Help
My Cart
New Zealand dollars.
