Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures - Series In Quantitative Finance 3 (Hardback)Yoshio Miyahara (author)
Hardback 200 Pages / Published: 23/11/2011
- We can order this
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.
Publisher: Imperial College Press
Number of pages: 200
Weight: 499 g
Dimensions: 229 x 152 x 18 mm
You may also be interested in...
Please sign in to write a review
Simply reserve online and pay at the counter when you collect. Available in shop from just two hours, subject to availability.
Thank you for your reservation
Your order is now being processed and we have sent a confirmation email to you at
When will my order be ready to collect?
Following the initial email, you will be contacted by the shop to confirm that your item is available for collection.
Call us on or send us an email at
Unfortunately there has been a problem with your order
Please try again or alternatively you can contact your chosen shop on or send us an email at