Basic Concepts in Mathematical Finance

Yoshio Miyahara
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Yoshio Miyahara: Nagoya City University, Japan

Chapter 1 in Option Pricing in Incomplete Markets:Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, 2011, pp 1-6 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Price ProcessesNo-arbitrage and Martingale MeasuresComplete and Incomplete MarketsFundamental TheoremsThe Black–Scholes ModelProperties of the Black–Scholes ModelDistribution of log returnsHistorical volatility and implied volatilityGeneralization of the Black–Scholes ModelGeometric Lévy process modelsStochastic volatility modelsNotes

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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