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.
Contents:- Basic Concepts in Mathematical Finance
- Lévy Processes and Geometric Lévy Process Models
- Equivalent Martingale Measures
- Esscher Transformed Martingale Measures
- Minimax Martingale Measures and Minimal Distance Martingale Measures
- Minimal Distance Martingale Measures for Geometric Lévy Processes
- The [GLP & MEMM] Pricing Model
- Calibration and Fitness Analysis of the [GLP & MEMM] Model
- The [GSP & MEMM] Pricing Model
- The Multi-Dimensional [GLP & MEMM] Pricing Model
Readership: Academics, graduate students and practitioners in mathematical finance.
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.
Contents:- Basic Concepts in Mathematical Finance
- Lévy Processes and Geometric Lévy Process Models
- Equivalent Martingale Measures
- Esscher Transformed Martingale Measures
- Minimax Martingale Measures and Minimal Distance Martingale Measures
- Minimal Distance Martingale Measures for Geometric Lévy Processes
- The [GLP & MEMM] Pricing Model
- Calibration and Fitness Analysis of the [GLP & MEMM] Model
- The [GSP & MEMM] Pricing Model
- The Multi-Dimensional [GLP & MEMM] Pricing Model
Readership: Academics, graduate students and practitioners in mathematical finance.
Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures: Modeling Based on Geometric LÃvy Processes and Minimal Entropy Martingale Measures
200
Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures: Modeling Based on Geometric LÃvy Processes and Minimal Entropy Martingale Measures
200eBook
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Product Details
| ISBN-13: | 9781848169180 |
|---|---|
| Publisher: | Imperial College Press |
| Publication date: | 11/22/2011 |
| Series: | Series In Quantitative Finance , #3 |
| Sold by: | Barnes & Noble |
| Format: | eBook |
| Pages: | 200 |
| File size: | 4 MB |