The [GLP & MEMM] Pricing Model and its Calibration Problems
نویسنده
چکیده
The [GLP & MEMM] pricing model (= [Geometric Lévy Process & Minimal Entropy Martingale Measure] pricing model) has been introduced as a pricing model for the incomplete financial market. This model has many good properties and is applicable to very wide classes of underlying asset price processes including the geometric stable processes. We explain those good properties and see several examples of this model. After that we investigate the calibration problems of [GLP & MEMM] model.
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