{
"item_title" : "Option Pricing in Incomplete Markets(v3)",
"item_author" : [" Miyahara Yoshio "],
"item_description" : "This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. TheGLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L vy 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 theGLP & MEMM] model that has been widely used in the application of practical problems.",
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Option Pricing in Incomplete Markets(v3)
Overview
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 L vy 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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Details
- ISBN-13: 9781848163478
- ISBN-10: 1848163479
- Publisher: Imperial College Press
- Publish Date: December 2011
- Dimensions: 9 x 6 x 0.7 inches
- Shipping Weight: 1.1 pounds
- Page Count: 200
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