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Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
part of the Series In Quantitative Finance series
- Binding:
- Hardback
- Pages:
- 200
- Published:
- November 22, 2011
- Dimensions:
- 229x159x18 mm.
- Weight:
- 484 g.
Delivery:
2-4 weeks
Expected delivery: December 20, 2024
Extended return policy to January 30, 2025
Description of Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
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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