Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
Yoshio (Nagoya City Univ, Japan) Miyahara
Imperial College Press, 2011
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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.
- ISBN-13
- 9781848163478
- ISBN-10
- 1848163479
- Publisher
- Imperial College Press
- Year
- 2011
- Publication date
- 2011-11-23
- Pages
- 202
- Dimensions
- 159x229x18
- Weight
- 442