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

• 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