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Více informací o knize Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures

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Anotace knihy

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.

Parametry knihy

• Plný název: Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
• Autor: Yoshio Miyahara
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 200
• EAN: 9781848163478
• ISBN: 1848163479
• ID: 04429694
• Nakladatelství: Imperial College Press
• Hmotnost: 484 g
• Rozměry: 159 × 229 × 18 mm
• Datum vydání: 23. November 2011

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