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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Option Pricing in Incomplete Markets(v3)

Option Pricing in Incomplete Markets(v3)

Miyahara Yoshio

Hardcover

Series: Quantitative Finance, Book 3

Investing & FinanceGeneral Mathematics

ISBN10: 1848163479
ISBN13: 9781848163478
Publisher: Imperial College Press
Published: Dec 1 2011
Pages: 200
Weight: 1.10
Height: 0.70 Width: 6.00 Depth: 9.00
Language: English
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 Lévy 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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