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

Modeling Based On Geometric Levy Processes And Minimal Entropy Martingale Measures

by Yoshio (Nagoya City Univ, Japan) Miyahara
language: english
Publisher: Imperial College Press, November of 2011 ‧
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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.

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

Modeling Based On Geometric Levy Processes And Minimal Entropy Martingale Measures

by Yoshio (Nagoya City Univ, Japan) Miyahara

Property Description
ISBN: 9781848163478
Publisher: Imperial College Press
Release Date: November of 2011
Language: English
Cover: Hardcover
Pages: 202
Format: Book
Collection: Series In Quantitative Finance
Categories: Books in English > Economics, Finance and Accounting > Finances
Books in English > Management > Management and Organization
Books in English > Others
EAN: 9781848163478