Yoshio Miyahara: 1 book
Option Pricing in Incomplete Markets
Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures
Language: English
Release Date: November 22, 2011
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...
