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Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
Engelsk
Bogcover for Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures af Yoshio Miyahara, 9781848163478
Specifikationer
Sprog:
Engelsk
Sider:
200
ISBN-13:
9781848163478
Indbinding:
Hardback
ISBN-10:
1848163479
Udg. Dato:
23 nov 2011
Størrelse i cm:
15,9 x 22,9 x 1,8
Serie:
Series In Quantitative Finance
Oplagsdato:
23 nov 2011
Forfatter(e):

Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures

Engelsk
Hardback 2011
Format:

Bog beskrivelse
Offers the reader practical methods to compute the option prices in the incomplete asset markets. This title shows that the geometric Levy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. It also introduces the [GLP \\& MEMM] pricing models.
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Specifikationer
Sprog:
Engelsk
Sider:
200
ISBN-13:
9781848163478
Indbinding:
Hardback
ISBN-10:
1848163479
Udg. Dato:
23 nov 2011
Størrelse i cm:
15,9 x 22,9 x 1,8
Serie:
Series In Quantitative Finance
Oplagsdato:
23 nov 2011
Forfatter(e):
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