IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9781848163485_0008.html
   My bibliography  Save this book chapter

Calibration and Fitness Analysis of the [GLP & MEMM] Model

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

Author

Listed:
  • Yoshio Miyahara

    (Nagoya City University, Japan)

Abstract

The following sections are included:The Physical World and the MEMM WorldFrom the physical world to the MEMM worldFrom the MEMM world to the physical worldCalibration problem and fitness analysisReproducibility of Volatility Smile/Smirk Property of the [GLP & MEMM] ModelImplied volatility of the model[Geometric Variance Gamma Process & MEMM] model[Geometric CGMY Process & MEMM] model[Geometric Stable Process & MEMM] modelCalibration of [GLP & MEMM] Pricing ModelPricing errorMinimization problemProcedure of calibrationFitness AnalysisProcedure of fitness analysisNotes

Suggested Citation

  • Yoshio Miyahara, 2011. "Calibration and Fitness Analysis of the [GLP & MEMM] Model," World Scientific Book Chapters, in: Option Pricing In Incomplete Markets Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, chapter 8, pages 99-110, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781848163485_0008
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9781848163485_0008
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9781848163485_0008
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9781848163485_0008. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.