OPTION PRICING IN INCOMPLETE MARKETS: MODELING BASED ON GEOMETRIC L'EVY PROCESSES AND MINIMAL ENTROPY MARTINGALE MEASURES

Inbunden, Engelska, 2011

Del 3 i serien SERIES IN QUANTITATIVE FINANCE

1 331 kr

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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)

Produktinformation

Utgivningsdatum:2011-11-23
Mått:229 x 159 x 18 mm
Vikt:442 g
Format:Inbunden
Språk:Engelska
Serie:SERIES IN QUANTITATIVE FINANCE
Antal sidor:200
Förlag:Imperial College Press
ISBN:9781848163478

Utforska kategorier

Finansiering inom Ekonomi och Ledarskap

Innehållsförteckning

Basic Concepts in Mathematical Finance; Levy Processes and Geometric Levy Process Models; Equivalent Martingale Measures; Esscher Transformed Martingale Measures; Minimax Martingale Measures and Minimal Distance Martingale Measures; Minimal Distance Martingale Measures for Geometric Levy Processes; [GLP & MEMM] Pricing Models; Calibration and Fitness Analysis of [GLP & MEMM] Models.