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Anglický jazyk
Option Pricing in Incomplete Markets
Autor: Yoshio Miyahara
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... Viac o knihe
Na objednávku
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O knihe
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 Lvy 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.
- Vydavateľstvo: ICP
- Rok vydania: 2011
- Formát: Hardback
- Rozmer: 235 x 157 mm
- Jazyk: Anglický jazyk
- ISBN: 9781848163478
