Tags
Language
Tags
<<
April 2024
Su Mo Tu We Th Fr Sa
31 1 2 3 4 5 6
7 8 9 10 11 12 13
14 15 16 17 18 19 20
21 22 23 24 25 26 27
28 29 30 1 2 3 4
  1. Home
  2. eBooks & eLearning

Option Pricing in Incomplete Markets: Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures

Posted By: interes
Date: 25 Jun 2014 21:31:45
Option Pricing in Incomplete Markets: Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures

Option Pricing in Incomplete Markets: Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures (Series in Quantitative Finance, Book 3) by Yoshio Miyahara
English | 2011 | ISBN: 1848163479 | ISBN-13: 9781848163478 | 200 pages | PDF | 2,3 MB

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.

>>Visit my blog for more eBooks<< | And also can connect to RSS

Download from Keep2Share

UPWARDS