Description

Book Synopsis
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.

Table of Contents
Basic Concepts in Mathematical Finance; Levy Processes and Geometric Levy Process Models; Equivalent Martingale Measures; Esscher Transformed Martingale Measures; Minimax Martingale Measures and Minimal Distance Martingale Measures; Minimal Distance Martingale Measures for Geometric Levy Processes; [GLP & MEMM] Pricing Models; Calibration and Fitness Analysis of [GLP & MEMM] Models.

Option Pricing In Incomplete Markets: Modeling

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A Hardback by Yoshio Miyahara

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    View other formats and editions of Option Pricing In Incomplete Markets: Modeling by Yoshio Miyahara

    Publisher: Imperial College Press
    Publication Date: 23/11/2011
    ISBN13: 9781848163478, 978-1848163478
    ISBN10: 1848163479
    Also in:
    Investment and securities

    Description

    Book Synopsis
    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.

    Table of Contents
    Basic Concepts in Mathematical Finance; Levy Processes and Geometric Levy Process Models; Equivalent Martingale Measures; Esscher Transformed Martingale Measures; Minimax Martingale Measures and Minimal Distance Martingale Measures; Minimal Distance Martingale Measures for Geometric Levy Processes; [GLP & MEMM] Pricing Models; Calibration and Fitness Analysis of [GLP & MEMM] Models.

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