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Option pricing in incomplete markets...

Miyahara, Yoshio, (1944-{me_controlnum})

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Option pricing in incomplete markets = modeling based on geometric Levy processes and minimal entropy Martingale measures /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Option pricing in incomplete markets/ Yoshio Miyahara.
Reminder of title:	modeling based on geometric Levy processes and minimal entropy Martingale measures /
Author:	Miyahara, Yoshio,
Published:	London :Imperial College Press ; : c2012.,
Description:	xiv, 185 p. :ill. (some col.)
Subject:	Options (Finance) - Prices. -
Online resource:	http://www.worldscientific.com/worldscibooks/10.1142/P622#t=toc
ISBN:	9781848163485 (electronic bk.)

Option pricing in incomplete markets = modeling based on geometric Levy processes and minimal entropy Martingale measures /
Miyahara, Yoshio,1944-{me_controlnum}

Option pricing in incomplete marketsmodeling based on geometric Levy processes and minimal entropy Martingale measures /[electronic resource] :Yoshio Miyahara. - London :Imperial College Press ;c2012. - xiv, 185 p. :ill. (some col.)

Includes bibliographical references (p. 173-179) and index.

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 Levy 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.

Electronic reproduction.
Singapore :
World Scientific Publishing Co.,
2012.

System requirements: Adobe Acrobat Reader.

ISBN: 9781848163485 (electronic bk.)Subjects--Topical Terms:

726068
Options (Finance)
--Prices.

LC Class. No.: HG6024.A3

Dewey Class. No.: 332.63228

Option pricing in incomplete markets = modeling based on geometric Levy processes and minimal entropy Martingale measures /
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300 $a xiv, 185 p. : $b ill. (some col.)
504 $a Includes bibliographical references (p. 173-179) and index.
520 $a 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 Levy 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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