Geometric Lévy process \& MEMM pricing model and related estimation problems
type: Item
instance of: scholarly article
title: Geometric Lévy process \& MEMM pricing model and related estimation problems
zbMATH Open document ID: 1070.91012
DOI: 10.1023/A:1011445109763
author: Yoshio Miyahara
published in: Asia-Pacific Financial Markets
publication date: 2003-12-04T00:00:00Z
review text: 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.
reviewed by: Petre Stavre
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2012844
zbMATH Keywords: incomplete markets
zbMATH Keywords: minimal entropy martingale measure
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 2012844