Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entro

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Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures
By: Yoshio Miyahara
Publisher:
ICP
Print ISBN: 9781848163478, 1848163479
eText ISBN: 9781848169180, 1848169183
Pages: 200
Format: EPUB
Available from $ 39.00 USD
SKU 9781848169180
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 Lévy 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.
Contents:
Basic Concepts in Mathematical Finance
Lévy Processes and Geometric Lévy Process Models
Equivalent Martingale Measures
Esscher Transformed Martingale Measures
Minimax Martingale Measures and Minimal Distance Martingale Measures
Minimal Distance Martingale Measures for Geometric Lévy Processes
The [GLP & MEMM] Pricing Model
Calibration and Fitness Analysis of the [GLP & MEMM] Model
The [GSP & MEMM] Pricing Model
The Multi-Dimensional [GLP & MEMM] Pricing Model

Readership: Academics, graduate students and practitioners in mathematical finance.