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Option Pricing in Incomplete Markets: Modeling Based on Geometric Lývy Processes and Minimal Entropy Martingale Measures (Series in Quantitative Finance)
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ISBN
:
9781848163478
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Publisher
:
Imperial College Press
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Subject
:
Mathematics, Economics, Finance & Accounting
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Binding
:
HARDCOVER
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Pages
:
200
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Year
:
2011
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12539.0
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Description
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 LxE9;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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