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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 Univ, Japan)
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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 Univ, Japan)
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 | Bøker Innbunden bok (Bok med hard rygg og stivt omslag) |
| Utgitt | 23. november 2011 |
| ISBN13 | 9781848163478 |
| Utgivere | Imperial College Press |
| Antall sider | 200 |
| Mål | 229 × 159 × 18 mm · 442 g |
| Språk | Engelsk |