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

By: Japan) Miyahara Yoshio (Nagoya City Univ (Author)

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Ksh 18,250.00

Format: Hardback or Cased Book

ISBN-13: 9781848163478

Publisher: Imperial College Press

Publication Date: Nov 23rd, 2011

Weight: 484 grams

Dimension: 15.90 x 22.90 x 1.80 cms

Category: Investment & securities

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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.

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