Option Pricing in Incomplete Markets: MODELING BASED ON GEOMETRIC L'EVY PROCESSES AND MINIMAL ENTROPY MARTINGALE MEASURES

November 23, 2011|
Option Pricing in Incomplete Markets: MODELING BASED ON GEOMETRIC L'EVY PROCESSES AND MINIMAL ENTROPY MARTINGALE MEASURES by YOSHIO Miyahara
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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 vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure.great detail. It is shown that the geometric L This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problems.
Title:Option Pricing in Incomplete Markets: MODELING BASED ON GEOMETRIC L'EVY PROCESSES AND MINIMAL ENTRO...Format:HardcoverProduct dimensions:200 pages, 0 X 0 X 0 inShipping dimensions:200 pages, 0 X 0 X 0 inPublished:November 23, 2011Publisher:World Scientific PublishingLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:1848163479

ISBN - 13:9781848163478

Appropriate for ages: All ages

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