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Option pricing in incomplete markets :modeling based on geometric Lévy processes and minimal entropy Martingale measures /Yoshio Miyahara
London :Imperial College Press, 2012
xiv, 185 pages. : illustrations ; 24 cm.
Ký hiệu phân loại (DDC): 332.64
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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