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- Autorius: Yoshio Miyahara
- Leidėjas: Imperial College Press
- Metai: 2011
- Puslapiai: 185
- ISBN-10: 1848163479
- ISBN-13: 9781848163478
- Formatas: 15.2 x 22.9 x 1.8 cm, kieti viršeliai
- Kalba: Anglų
Option Pricing in Incomplete Markets: Modeling Based on Geometric l'Evy Processes and Minimal Entropy Martingale Measures (el. knyga) (skaityta knyga) | knygos.lt
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Aprašymas
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 example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure.This volume also presents the calibration procedure of the [GLP & MEMM] model that has been widely used in the application of practical problems.
- Autorius: Yoshio Miyahara
- Leidėjas: Imperial College Press
- Metai: 2011
- Puslapiai: 185
- ISBN-10: 1848163479
- ISBN-13: 9781848163478
- Formatas: 15.2 x 22.9 x 1.8 cm, kieti viršeliai
- Kalba: Anglų
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 example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure.This volume also presents the calibration procedure of the [GLP & MEMM] model that has been widely used in the application of practical problems.
Atsiliepimai