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Giá tiền
| 98USD |
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DDC
| 332.64M300Y |
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Tác giả CN
| Miyahara, Yoshio |
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Nhan đề
| Option pricing in incomplete markets. Modeling based on geometric Lévy processes and minimal entropy Martingale measures / Vol. 3 : Yoshio Miyahara |
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Thông tin xuất bản
| London :Imperial College Press,2012 |
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Mô tả vật lý
| 185tr. ;24cm. |
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Tùng thư
| Series in quantitative finance |
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Tóm tắt
| 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 Levy 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 |
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Từ khóa tự do
| Finance mathematical models |
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Từ khóa tự do
| Finance |
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Từ khóa tự do
| Stock options |
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Địa chỉ
| 100Ngoại ngữ(4): 106000051-4 |
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| 082 | |a332.64|bM300Y |
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| 100 | |aMiyahara, Yoshio |
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| 245 | |aOption pricing in incomplete markets.|nVol. 3 :|bModeling based on geometric Lévy processes and minimal entropy Martingale measures /|cYoshio Miyahara |
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| 260 | |aLondon :|bImperial College Press,|c2012 |
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| 300 | |a185tr. ;|c24cm. |
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| 490 | |aSeries in quantitative finance |
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| 520 | |aThis 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 Levy 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 |
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| 653 | |aFinance mathematical models |
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| 653 | |aFinance |
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| 653 | |aStock options |
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| 852 | |a100|bNgoại ngữ|j(4): 106000051-4 |
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| 856 | 1|uhttps://lib.dhhp.edu.vn/kiposdata1/anhbiasach/2024/optionpricingin_thumbimage.jpg |
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| 890 | |a4|b0|c0|d0 |
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