Calibration and Fitness Analysis of the [GLP & MEMM] Model

Yoshio Miyahara
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Yoshio Miyahara: Nagoya City University, Japan

Chapter 8 in Option Pricing in Incomplete Markets:Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, 2011, pp 99-110 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:The Physical World and the MEMM WorldFrom the physical world to the MEMM worldFrom the MEMM world to the physical worldCalibration problem and fitness analysisReproducibility of Volatility Smile/Smirk Property of the [GLP & MEMM] ModelImplied volatility of the model[Geometric Variance Gamma Process & MEMM] model[Geometric CGMY Process & MEMM] model[Geometric Stable Process & MEMM] modelCalibration of [GLP & MEMM] Pricing ModelPricing errorMinimization problemProcedure of calibrationFitness AnalysisProcedure of fitness analysisNotes

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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