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Zbl 1070.91012
Miyahara, Yoshio
Geometric Lévy process \& MEMM pricing model and related estimation problems. (English)
[J] Asia-Pac. Financ. Mark. 8, No. 1, 45-60 (2001). ISSN 1387-2834; ISSN 1573-6946/e

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.
[Petre Stavre (Craiova)]
MSC 2000:
*91B24 Price theory and market structure
91B28 Finance etc.

Keywords: incomplete markets; minimal entropy martingale measure

Cited in: Zbl 1233.91270

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