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Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae
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Catalogue Information
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Details
Dewey Class
332.645301
Title
Option Prices as Probabilities ([Ebook]) : A New Look at Generalized Black-Scholes Formulae / by Cristophe Profeta, Bernard Roynette, Marc Yor.
Author
Profeta, Cristophe
Added Personal Name
Roynette, Bernard
Yor, Marc
Other name(s)
SpringerLink (Online service)
Publication
Berlin, Heidelberg : Springer , 2010.
Physical Details
XXI, 270 pages : 3 illus. : online resource.
Series
Springer finance
ISBN
9783642103957
Summary Note
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. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense. The volume 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.:
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site
http://dx.doi.org/10.1007/978-3-642-10395-7
Links to Related Works
Subject References:
Black-Scholes-Modell
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Distribution (Probability theory)
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Finance
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Martingales (Mathematics)
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Options (Finance)
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Probability theory and stochastic processes
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Quantitative Finance
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Authors:
author
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Profeta, Cristophe
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Roynette, Bernard
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Yor, Marc
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Corporate Authors:
SpringerLink (Online service)
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Series:
Springer finance
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Classification:
332.645301
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332.645301 (DDC 23)
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