[GLP & MEMM] Pricing Models and Related Problems

Yoshio Miyahara
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Yoshio Miyahara: Graduate School of Economics, Nagoya City University, Mizuhochou Mizuhoku, Nagoya, 467-8501, Japan

Chapter 4 in Stochastic Processes and Applications to Mathematical Finance, 2006, pp 125-156 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe [GLP & MEMM] pricing model (= [Geometric Lévy Process & Minimal Entropy Martingale Measure] pricing model) has been introduced as a pricing model for the incomplete financial market. This model has many good properties and is applicable to very wide classes of underlying asset price processes including the geometric stable processes. We explain those good properties and see several examples of this model. After that we investigate the calibration problems of [GLP & MEMM] model.

Keywords: Stochastic Processes; Mathematical Finance; Malliavin Calculus; Martingale Representation; Chaos Expansion; Levy Processes; Stable Processes; Stochastic Differential Equations; Stochastic Control (search for similar items in EconPapers)
Date: 2006
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