Option Prices as Probabilities A New Look at Generalized Black-Scholes Formulae /

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 geometric Brownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. T...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Profeta, Christophe (Autor), Roynette, Bernard (Autor), Yor, Marc (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2010.
Edición:1st ed. 2010.
Colección:Springer Finance Lecture Notes,
Temas:
Probabilities.
Social sciences > Mathematics.
Probability Theory.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Reading the Black-Scholes Formula in Terms of First and Last Passage Times
  • Generalized Black-Scholes Formulae for Martingales, in Terms of Last Passage Times
  • Representation of some particular Azéma supermartingales
  • An Interesting Family of Black-Scholes Perpetuities
  • Study of Last Passage Times up to a Finite Horizon
  • Put Option as Joint Distribution Function in Strike and Maturity
  • Existence and Properties of Pseudo-Inverses for Bessel and Related Processes
  • Existence of Pseudo-Inverses for Diffusions.

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