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Option Pricing Based on Geometric Stable Processes and Minimal Entropy Martingale Measures

In: Recent Advances In Financial Engineering

Author

Listed:
  • Yoshio Miyahara

    (Graduate School of Economics, Nagoya City University, Japan)

  • Naruhiko Moriwaki

    (MTEC (Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd.), Japan)

Abstract

The objective of this paper is to introduce the [GSP & MEMM] (geometric stable processes and minimal entropy martingale measure) pricing model and show its advantages for pricing options with its fat tailed property. As the result of empirical analysis the good fitness of the [GSP & MEMM] pricing model is shown to the currency options.

Suggested Citation

  • Yoshio Miyahara & Naruhiko Moriwaki, 2009. "Option Pricing Based on Geometric Stable Processes and Minimal Entropy Martingale Measures," World Scientific Book Chapters, in: Masaaki Kijima & Masahiko Egami & Kei-ichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering, chapter 7, pages 119-133, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814273473_0007
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    Citations

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    Cited by:

    1. Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2013. "Option pricing with discrete time jump processes," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2417-2445.
    2. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2012. "Option pricing with discrete time jump processes," Post-Print halshs-00611706, HAL.

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