[GLP & MEMM] PRICING MODEL AND ITS CALIBRATION

Yoshio MIYAHARA

Abstract

The [GLP & MEMM] pricing model (= [Geometric Levy 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 process. We explain those good properties and see several examples of this model. After that we investigate the calibration problems of [GLP & MEMM] pricing model.