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) - Books - Imperial College Press - 9781848163478 - November 23, 2011
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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

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 Books     Hardcover Book   (Book with hard spine and cover)
Released November 23, 2011
ISBN13 9781848163478
Publishers Imperial College Press
Pages 200
Dimensions 229 × 159 × 18 mm   ·   484 g

See all of Miyahara, Yoshio (Nagoya City Univ, Japan) ( e.g. Hardcover Book )