Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
Book Details
Format
Hardback or Cased Book
Book Series
Series In Quantitative Finance
ISBN-10
1848163479
ISBN-13
9781848163478
Publisher
Imperial College Press
Imprint
Imperial College Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Nov 23rd, 2011
Print length
200 Pages
Weight
484 grams
Dimensions
15.90 x 22.90 x 1.80 cms
Product Classification:
Investment & securities
Ksh 14,600.00
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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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