Option Pricing in Incomplete Markets
Miyahara, Yoshio
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 Lvy 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 pres...