Option prices as probabilities: a new look at generalized black-scholes formulae
Profeta, Cristophe
Roynette, Bernard
Yor, Marc
The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometricBrownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has ever been made in this sense. Thevolume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon,pseudo-inverses of processes... They are developed in eight chapters, with complements, appendices and exercises." To the best of our knowledge this book discusses in a unique way last passage times
- ISBN: 978-3-642-10394-0
- Editorial: Springer
- Encuadernacion: Rústica
- Páginas: 250
- Fecha Publicación: 25/01/2010
- Nº Volúmenes: 1
- Idioma: Inglés