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The [GLP & MEMM] Pricing Model

In: Option Pricing In Incomplete Markets Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures

Author

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  • Yoshio Miyahara

    (Nagoya City University, Japan)

Abstract

The following sections are included:The ModelSufficient condition for the existence of MEMMProperties of geometric Lévy processes under MEMMExamples of [GLP & MEMM] Pricing ModelGeometric (Brownian motion + compound Poisson) model (or jump-diffusion model) ([GJD & MEMM])Geometric variance gamma model ([GVG & MEMM])Geometric stable process model ([GSP & MEMM])Geometric CGMY model ([GCGMY & MEMM])Why the Geometric Lévy Process?Why the MEMM?Comparison of Equivalent Martingale Measures for Geometric Lévy ProcessesCorresponding risk process relating to Esscher-transformed MMIntegrability condition of Lévy measures for the existence of martingale measuresCorresponding utility functionThe Explicit Form of Lévy Measure of Zt under an Equivalent Martingale MeasureGeneral form of Lévy measure of Zt under equivalent martingale measuresGeometric variance gamma modelGeometric stable process modelGeometric CGMY modelMerton model (jump-diffusion model)Notes

Suggested Citation

  • Yoshio Miyahara, 2011. "The [GLP & MEMM] Pricing Model," World Scientific Book Chapters, in: Option Pricing In Incomplete Markets Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, chapter 7, pages 75-98, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781848163485_0007
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