The [GSP & MEMM] Pricing Model

Yoshio Miyahara
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Yoshio Miyahara: Nagoya City University, Japan

Chapter 9 in Option Pricing in Incomplete Markets:Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, 2011, pp 111-119 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 world (GSP case)From the MEMM world to the physical world (GSP case)Calibration by the [GSP & MEMM] Pricing ModelCalibration in the physical worldCalibration in the MEMM worldApplication of the Calibrated Process to Dollar-Yen Currency OptionsFact: the implied volatility curve of currency optionsIn-sample analysisOut-of-sample analysisVolatility-based calibrationNotes

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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