株式会社極東書店トップ ＞ 商品一覧 ＞ Option Pricing in Incomplete Markets : Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures.
商品詳細
Option Pricing in Incomplete Markets : Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures. 不完備市場におけるオプション価格評価
・ISBN 978-1-84816-347-8 2012 hard
お気に入り
★★★
電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-84816-348-5
| 著者・編者 | Miyahara, Yoshio, |
|---|---|
| シリーズ | Series in Quantitative Finance |
| 出版社 | (Imperial College Pr., UK) |
| ページ数 | 185 pp. |
| 言語 | ENG |
| ニュース番号 | ＜572-277＞ |
解説
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 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.This volume also presents the calibration procedure of the [GLP & MEMM] model that has been widely used in the application of practical problems.