Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures

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.
Contents:Basic Concepts in Mathematical FinanceLévy Processes and Geometric Lévy Process ModelsEquivalent Martingale MeasuresEsscher Transformed Martingale MeasuresMinimax Martingale Measures and Minimal Distance Martingale MeasuresMinimal Distance Martingale Measures for Geometric Lévy ProcessesThe [GLP & MEMM] Pricing ModelCalibration and Fitness Analysis of the [GLP & MEMM] ModelThe [GSP & MEMM] Pricing ModelThe Multi-Dimensional [GLP & MEMM] Pricing Model
Readership: Academics, graduate students and practitioners in mathematical finance.