عنوان
پدید آورنده
موضوع
رده
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
1848163479
(Number (ISBN
9781848163478
NATIONAL BIBLIOGRAPHY NUMBER
Number
dltt
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Option pricing in incomplete markets :
General Material Designation
[Book]
Other Title Information
modeling based on geometric Lévy processes and minimal entropy Martingale measures /
First Statement of Responsibility
Yoshio Miyahara, Nagoya City University, Japan.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
xiv, 185 pages :
Other Physical Details
illustrations ;
Dimensions
24 cm.
SERIES
Series Title
Series in quantitative finance ;
Volume Designation
v. 3
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references and index.
CONTENTS NOTE
Text of Note
Basic concepts in mathematical finance -- Lévy processes and geometric Lévy process models -- Equivalent Martingale measures -- Esscher-transformed Martingale measures -- Minimax Martingale measures and minimal distance Martingale measures -- Minimal distance Martingale measures for geometric Lévy processes -- The [GLP & MEMM] pricing model -- Calibration and fitness analysis of the [GLP & MEMM] Model -- The [GSP & MEMM] pricing model -- The multi-dimensional [GLP & MEMM] pricing model.
0
SUMMARY OR ABSTRACT
Text of Note
"This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Lévy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problems."--Publisher's website.
TOPICAL NAME USED AS SUBJECT
Options (Finance)-- Prices.
Stock options.
Lévy-Prozess.
Martingal.
Optionspreistheorie.
Unvollkommener Markt.
OTHER CLASS NUMBERS
Class number
MAT
605f
Class number
WIR
170f
System Code
stub
System Code
stub
PERSONAL NAME - PRIMARY RESPONSIBILITY
Miyahara, Yoshio,1944-
ORIGINATING SOURCE
Date of Transaction
20140617043100.0
Cataloguing Rules (Descriptive Conventions))
rda
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
