Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And... (Bog, Hardback, Engelsk)
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Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures

(Bog, Hardback, Engelsk)
Forfatter: Yoshio (Nagoya City Univ Miyahara
Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
Forlag: Imperial College Press

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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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Alle detaljer

Forlag Imperial College Press
Forfatter Yoshio (Nagoya City Univ Miyahara
Type Bog
Format Hardback
Sprog Engelsk
Udgivelsesdato 23-11-2011
Første udgivelsesår 2011
Serie Series In Quantitative Finance
Originalsprog United Kingdom
Sideantal 200
Indbinding Hardback
Forlag Imperial College Press
Sideoplysninger 200 pages
Mål 159 x 229 x 18
ISBN-13 / EAN-13 9781848163478