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" Option pricing in incomplete markets : "
Yoshio Miyahara, Nagoya City University, Japan.
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BL
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| Record Number
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615908
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dltt
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| Main Entry
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Miyahara, Yoshio,1944-
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| Title & Author
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Option pricing in incomplete markets : : modeling based on geometric Lévy processes and minimal entropy Martingale measures /\ Yoshio Miyahara, Nagoya City University, Japan.
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| Series Statement
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Series in quantitative finance ;; v. 3
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xiv, 185 pages :: illustrations ;; 24 cm.
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| ISBN
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9781848163478
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: 1848163479
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| Bibliographies/Indexes
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Includes bibliographical references and index.
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| Contents
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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.
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| Abstract
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"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."--Publisher's website.
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Options (Finance)-- Prices.
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Stock options.
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Lévy-Prozess.
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Martingal.
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Optionspreistheorie.
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Unvollkommener Markt.
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| NLM classification
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MAT 605fstub
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WIR 170fstub
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