| Option Pricing in Incomplete Markets(v3) Contributor(s): Yoshio Miyahara (Author) |
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ISBN: 1848163479 ISBN-13: 9781848163478 Publisher: Imperial College Press OUR PRICE: $93.10 Product Type: Hardcover - Other Formats Published: December 2011 Annotation: 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 Lvy 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. |
| Additional Information |
| BISAC Categories: - Mathematics | Applied - Business & Economics | Finance - General |
| Dewey: 332.632 |
| Series: Series in Quantitative Finance |
| Physical Information: 0.7" H x 6" W x 9" (1.1 lbs) 200 pages |
| Descriptions, Reviews, Etc. |
| Publisher 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 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. |