Option Pricing in Incomplete Markets
| Author | : Yoshio Miyahara |
| Publisher | : World Scientific |
| Total Pages | : 200 |
| Release | : 2012 |
| ISBN-10 | : 9781848163478 |
| ISBN-13 | : 1848163479 |
| Rating | : 4/5 (479 Downloads) |
Download or read book Option Pricing in Incomplete Markets written by Yoshio Miyahara and published by World Scientific. This book was released on 2012 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 Lvy 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.
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