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Option Pricing In Incomplete Markets Modeling Based On Geometric Lvy Processes And Minimal Entropy Martingale Measures 1st Edition Yoshio Miyahara

  • SKU: BELL-4705722
Option Pricing In Incomplete Markets Modeling Based On Geometric Lvy Processes And Minimal Entropy Martingale Measures 1st Edition Yoshio Miyahara
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Option Pricing In Incomplete Markets Modeling Based On Geometric Lvy Processes And Minimal Entropy Martingale Measures 1st Edition Yoshio Miyahara instant download after payment.

Publisher: Imperial College Press
File Extension: PDF
File size: 2.31 MB
Pages: 200
Author: Yoshio Miyahara
ISBN: 9781848163478, 1848163479
Language: English
Year: 2011
Edition: 1

Product desciption

Option Pricing In Incomplete Markets Modeling Based On Geometric Lvy Processes And Minimal Entropy Martingale Measures 1st Edition Yoshio Miyahara by Yoshio Miyahara 9781848163478, 1848163479 instant download after payment.

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.

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