The Multi-Dimensional [GLP & MEMM] Pricing Model

Yoshio Miyahara
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Yoshio Miyahara: Nagoya City University, Japan

Chapter 10 in Option Pricing in Incomplete Markets:Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, 2011, pp 121-140 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Multi-Dimensional Lévy ProcessesMulti-Dimensional Geometric Lévy ProcessesEsscher MM and MEMMEquivalent martingale measuresEsscher martingale measuresMinimal entropy martingale measures[GLP & MEMM] pricing modelApplication to Portfolio EvaluationGeometric Lévy process portfolio modelRisk-sensitive value measureRisk-sensitive evaluation of portfolioRe-balancing portfoliosRisk-Sensitive Evaluation of Growth RateRisk-sensitive evaluation of RIRRRisk-sensitive evaluation of re-balancing portfoliosRisk-sensitive evaluation of a single assetNotes

Keywords: Mathematical Finance; Incomplete Market; Option Pricing; Lévy Process; Minimal Entropy Martingale Measure; Calibration of [GLP & MEMM] Models (search for similar items in EconPapers)
Date: 2011
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