Option Pricing in Incomplete Markets:Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures

Yoshio Miyahara
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Yoshio Miyahara: Nagoya City University, Japan

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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 Lévy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure.

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
ISBN: 9781848163478
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Citations: View citations in EconPapers (1)

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https://www.worldscientific.com/worldscibooks/10.1142/p622 (text/html)
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Chapters in this book:

Ch 1 Basic Concepts in Mathematical Finance , pp 1-6

Yoshio Miyahara

Ch 2 Lévy Processes and Geometric Lévy Process Models , pp 7-20

Yoshio Miyahara

Ch 3 Equivalent Martingale Measures , pp 21-27

Yoshio Miyahara

Ch 4 Esscher-Transformed Martingale Measures , pp 29-40

Yoshio Miyahara

Ch 5 Minimax Martingale Measures and Minimal Distance Martingale Measures , pp 41-46

Yoshio Miyahara

Ch 6 Minimal Distance Martingale Measures for Geometric Lévy Processes , pp 47-73

Yoshio Miyahara

Ch 7 The [GLP & MEMM] Pricing Model , pp 75-98

Yoshio Miyahara

Ch 8 Calibration and Fitness Analysis of the [GLP & MEMM] Model , pp 99-110

Yoshio Miyahara

Ch 9 The [GSP & MEMM] Pricing Model , pp 111-119

Yoshio Miyahara

Ch 10 The Multi-Dimensional [GLP & MEMM] Pricing Model , pp 121-140

Yoshio Miyahara

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