Option Pricing in Incomplete Markets

Modeling Based on Geometric Levy Processes and Minimal Entropy Martingale Measures

• Author(s): Yoshio Miyahara,
• Publisher: World Scientific
• Pages: 200
• ISBN_10: 1848163487
  ISBN_13: 9781848163485
  
• Language: en
• Categories: Business & Economics / Finance / General , Business & Economics / Investments & Securities / General , BUSINESS & ECONOMICS / Investments & Securities / Stocks , Business & Economics / Business Mathematics , Mathematics / Applied ,

Description:... 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 L(r)vy 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 problem