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[Series in Quantitative Finance] Option Pricing in Incomplete Markets Volume 3 (Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures) || Esscher-Transformed Martingale Measures

✍ Scribed by Miyahara, Yoshio

Book ID
119947604
Publisher
IMPERIAL COLLEGE PRESS
Year
2011
Tongue
English
Weight
399 KB
Category
Article
ISBN
1848163487

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✦ Synopsis

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(r)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 Problem

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