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Option Pricing in Incomplete Markets

Option Pricing in Incomplete Markets

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  • ISBN:9781848163478
  • Editorial: Imperial College Press
  • Fecha de la edición:
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  • Nº Pág.:200
  • Idiomas:Español

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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 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

Basic Concepts in Mathematical Finance; Levy Processes and Geometric Levy Process Models; Equivalent Martingale Measures; Esscher Transformed Martingale Measures; Minimax Martingale Measures and Minimal Distance Martingale Measures; Minimal Distance Martingale Measures for Geometric Levy Processes; [GLP \& MEMM] Pricing Models; Calibration and Fitness Analysis of [GLP \& MEMM] Models.

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