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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 Lvy 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.
Recenzie a kritiky
Rok vydania:
2011ISBN:
9781848163478Rozmer:
157×235 mmPočet strán:
200Väzba:
pevnáJazyk: angličtina
