Option pricing in incomplete markets : modeling based on geometric Lévy processes and minimal entropy martingale measures

• Material Type: 図書
• ISBN: 9781848163478 (hbk.); 1848163479 (hbk.)
• ISSN (series): 1756-1604
• Title: Option pricing in incomplete markets : modeling based on geometric Lévy processes and minimal entropy martingale measures
• Author/Editor: Yoshio Miyahara.
• Series Title: Series in quantitative finance ; v. 3
• Author Heading: 宮原, 孝夫, 1944- ミヤハラ, ヨシオ, 1944- ( 00214091 )Authorities
• Publication, Distribution, etc.: London : Imperial College Press
• Publication Date: c2012.
• Publication Date (W3CDTF): 2012
• Extent: xiv, 185 p.
• Other physical details: ill.
• Size: 24 cm.
• Place of Publication (Country Code): GB
• Text Language Code: eng
• Subject Heading: Options (Finances)--Prix--Mathématiques.; Options d'achat d'actions.
• LCC: HG6024 A3 M685 2012
• DDC: 332.63228
• NDLC: DF161
• Target Audience: 一般
• Note (Bibliography): Bibliogr.: p. 173-179.
• Holding library: 国立国会図書館
• Call No.: DF161-B69
• Data Provider (Database): 国立国会図書館 : 国立国会図書館蔵書; https://ndlsearch.ndl.go.jp
• Bibliographic ID (NDL): 023060222; http://id.ndl.go.jp/bib/023060222
• OCLC No.: 803313297; https://www.worldcat.org/oclc/803313297
• Bibliographic Record Category (NDL): 211

• Contents: Basic concepts in mathematical financeLévy processes and geometric lévy process modelsEquivalent Martingale measures...
• Summary, etc.: This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clea...