图书名称：Option Pricing in Incomplete Markets: Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures
作者：Yoshio Miyahara
出版社：Imperial College Press
页数：200
出版时间：2012                           
语言：English
格式：pdf
内容简介：
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.

Table of Content
Preface v
1. Basic Concepts in Mathematical Finance 1
2. Levy Processes and Geometric Levy Process Models 7
3. Equivalent Martingale Measures 21
4. Esscher-Transformed Martingale Measures 29
5. Minimax Martingale Measures and Minimal Distance Martingale Measures 41
6. Minimal Distance Martingale Measures for Geometric Levy Processes 47
7. The [GLP & MEMM] Pricing Model 75
8. Calibration and Fitness Analysis of the [GLP & MEMM] Model 99
9. The [GSP & MEMM] Pricing Model 111
10. The Multi-Dimensional [GLP & MEMM] Pricing Model 121
Appendix A Estimation 141
A.1 Method of Moments 141
A.2 Examples 147
Bibliography 173
Index 181





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