Option Pricing in Incomplete Markets: Modeling Based on Geometric L'evy Processes and Minimal Entropy Martingale Measures - Series in Quantitative Finance - Miyahara, Yoshio (Nagoya City University, Japan) - Books - Imperial College Press - 9781848163478 - November 23, 2011
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Miyahara, Yoshio (Nagoya City University, Japan)
Option Pricing in Incomplete Markets: Modeling Based on Geometric L'evy Processes and Minimal Entropy Martingale Measures - Series in Quantitative Finance

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Offers the reader practical methods to compute the option prices in the incomplete asset markets. This title shows 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. It also introduces the [GLP \& MEMM] pricing models.

200 pages, illustrations

Media Books     Hardcover Book   (Book with hard spine and cover)
Released November 23, 2011
ISBN13 9781848163478
Publishers Imperial College Press
Pages 202
Dimensions 229 × 159 × 18 mm   ·   442 g
Language English  

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