Pricing European options with stochastic volatility under the minimal entropy martingale measure
نویسندگان
چکیده
منابع مشابه
Risk measurement and Implied volatility under Minimal Entropy Martingale Measure for Levy process
This paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carlo methodunder minimal entropy martingale measure (MEMM) for exponential Levy process. This Martingale measure is used for the...
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ژورنال
عنوان ژورنال: European Journal of Applied Mathematics
سال: 2015
ISSN: 0956-7925,1469-4425
DOI: 10.1017/s0956792515000510