3 research outputs found
Volatility Smile/Smirk Properties of [GLP & MEMM] Models(The 7th Workshop on Stochastic Numerics)
Get PDFThe [GLP(Geometric Lévy Process) & MEMM(Minimal Entropy Martingale Measure)]
No full textpricing model was first introduced in [13] as one of the pricing models for the incomplete market. We first explain the structure of this model, and next we investigate the volatility smile/smirk properties of this model by the use of computer simulation method.
