Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures - Series In Quantitative Finance - Miyahara, Yoshio (Nagoya City Univ, Japan) - Bøger - Imperial College Press - 9781848163478 - 23. november 2011
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Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures - Series In Quantitative Finance

Miyahara, Yoshio (Nagoya City Univ, Japan)

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Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures - Series In Quantitative Finance

Offers the reader practical methods to compute the option prices in the incomplete asset markets. This title shows 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. It also introduces the [GLP \& MEMM] pricing models.

200 pages, illustrations

Medie Bøger     Hardcover bog   (Bog med hård ryg og stift omslag)
Udgivet 23. november 2011
ISBN13 9781848163478
Forlag Imperial College Press
Antal sider 200
Mål 229 × 159 × 18 mm   ·   484 g
Sprog Engelsk  

Se alt med Miyahara, Yoshio (Nagoya City Univ, Japan) ( f.eks. Hardcover bog )