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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 University, 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
Miyahara, Yoshio (Nagoya City University, Japan)
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
| Mediji | Grāmatas Hardcover Book (Grāmata ar cieto muguriņu un vāku) |
| Izlaists | 2011. gada 23. novembris |
| ISBN13 | 9781848163478 |
| Izdevēji | Imperial College Press |
| Lapas | 200 |
| Izmēri | 229 × 159 × 18 mm · 442 g |
| Valoda | Angļu |
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