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Field name	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
Added Personal Name	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 . Distribution (Probability theory) . Finance . Martingales (Mathematics) . Options (Finance) . Probability theory and stochastic processes . Quantitative Finance . Authors: author . Profeta, Cristophe . Roynette, Bernard . Yor, Marc . Corporate Authors: SpringerLink (Online service) . Series: Springer finance . Classification: 332.645301 . 332.645301 (DDC 23) .

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

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