Option pricing in incomplete markets: modeling based on geometric l'Evy processes and minimal entropy martingale measures

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 anextremely powerful pricing measure. This volume also presents the calibrationprocedure of the [GLP & MEMM] model that has been widely used in the application of practical problems. INDICE: Basic Concepts in Mathematical Finance; Lévy Processes and Geometric Lévy Process Models; Equivalent Martingale Measures; Esscher Transformed Martingale Measures; Minimax Martingale Measures and Minimal Distance MartingaleMeasures; Minimal Distance Martingale Measures for Geometric Lévy Processes; The [GLP & MEMM] Pricing Model; Calibration and Fitness Analysis of the [GLP &MEMM] Model; The [GSP & MEMM] Pricing Model; The Multi-Dimensional [GLP & MEMM] Pricing Model.

• ISBN: 978-1-84816-347-8
• Editorial: Imperial College
• Encuadernacion: Cartoné
• Páginas: 200
• Fecha Publicación: 01/01/2012
• Nº Volúmenes: 1
• Idioma: Inglés