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RISK SENSITIVE VALUE MEASURE METHOD: A NEW METHOD OF PROJECT EVALUATION
Yoshio Miyahara
Inbunden, 2025
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OPTION PRICING IN INCOMPLETE MARKETS: MODELING BASED ON GEOMETRIC L'EVY PROCESSES AND MINIMAL ENTROPY MARTINGALE MEASURES
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Beskrivning
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.Sample Chapter(s)
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