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Option Pricing in Incomplete Markets

Option Pricing in Incomplete Markets PDF Author: Yoshio Miyahara
Publisher: World Scientific
ISBN: 1848163487
Category : Electronic books
Languages : en
Pages : 200

Book 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
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