Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures Hardback
Part of the Series In Quantitative Finance series
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.
- Format: Hardback
- Pages: 200 pages
- Publisher: Imperial College Press
- Publication Date: 23/11/2011
- Category: Investment & securities
- ISBN: 9781848163478
- EPUB from £108.90