Option pricing in incomplete markets: modeling based on geometric Levy processes and minimal entropy martingale measures - v. 3

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.