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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

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.

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Suggested Citation

  • Yoshio Miyahara, 2011. "Option Pricing in Incomplete Markets:Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p622, December.
    • Handle: RePEc:wsi:wsbook:p622
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    File URL: https://www.worldscientific.com/worldscibooks/10.1142/p622
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    Cited by:

    1. El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2023. "A hybrid stochastic volatility model in a Lévy market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 220-235.

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