The [GLP & MEMM] Pricing Model

Yoshio Miyahara
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Yoshio Miyahara: Nagoya City University, Japan

Chapter 7 in Option Pricing in Incomplete Markets:Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, 2011, pp 75-98 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:The ModelSufficient condition for the existence of MEMMProperties of geometric Lévy processes under MEMMExamples of [GLP & MEMM] Pricing ModelGeometric (Brownian motion + compound Poisson) model (or jump-diffusion model) ([GJD & MEMM])Geometric variance gamma model ([GVG & MEMM])Geometric stable process model ([GSP & MEMM])Geometric CGMY model ([GCGMY & MEMM])Why the Geometric Lévy Process?Why the MEMM?Comparison of Equivalent Martingale Measures for Geometric Lévy ProcessesCorresponding risk process relating to Esscher-transformed MMIntegrability condition of Lévy measures for the existence of martingale measuresCorresponding utility functionThe Explicit Form of Lévy Measure of Zt under an Equivalent Martingale MeasureGeneral form of Lévy measure of Zt under equivalent martingale measuresGeometric variance gamma modelGeometric stable process modelGeometric CGMY modelMerton model (jump-diffusion model)Notes

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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