Geometric Lévy process \& MEMM pricing model and related estimation problems (Q1415423): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Geometric Lévy process \& MEMM pricing model and related estimation problems |
scientific article |
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Geometric Lévy process \& MEMM pricing model and related estimation problems (English)
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4 December 2003
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In this paper a general type of geometric Levi processes for the incomplete markets is proposed. In the first part it is investigated to estimate the price process of the underlying asset.
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incomplete markets
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minimal entropy martingale measure
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