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
language: english
Publisher:
Imperial College Press, November of 2011 ‧
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SYNOPSIS
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.
DETAILS
| 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 |
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