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The Resource Option Prices as Probabilities : A New Look at Generalized BlackScholes Formulae, by Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)
Option Prices as Probabilities : A New Look at Generalized BlackScholes Formulae, by Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)
Resource Information
The item Option Prices as Probabilities : A New Look at Generalized BlackScholes Formulae, by Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Oklahoma Libraries.This item is available to borrow from all library branches.
Resource Information
The item Option Prices as Probabilities : A New Look at Generalized BlackScholes Formulae, by Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Oklahoma Libraries.
This item is available to borrow from all library branches.
 Summary
 The BlackScholes 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 wellknown 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: pastfuture martingales, last passage times up to a finite horizon, pseudoinverses of processes... They are developed in eight chapters, with complements, appendices and exercises
 Language

 eng
 eng
 Edition
 1st ed. 2010.
 Extent
 1 online resource (281 p.)
 Note
 Description based upon print version of record
 Contents

 Reading the BlackScholes Formula in Terms of First and Last Passage Times
 Generalized BlackScholes Formulae for Martingales, in Terms of Last Passage Times
 Representation of some particular Azéma supermartingales
 An Interesting Family of BlackScholes 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 PseudoInverses for Bessel and Related Processes
 Existence of PseudoInverses for Diffusions
 Isbn
 9781282835344
 Label
 Option Prices as Probabilities : A New Look at Generalized BlackScholes Formulae
 Title
 Option Prices as Probabilities
 Title remainder
 A New Look at Generalized BlackScholes Formulae
 Statement of responsibility
 by Christophe Profeta, Bernard Roynette, Marc Yor
 Language

 eng
 eng
 Summary
 The BlackScholes 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 wellknown 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: pastfuture martingales, last passage times up to a finite horizon, pseudoinverses of processes... They are developed in eight chapters, with complements, appendices and exercises
 http://library.link/vocab/creatorName
 Profeta, Christophe
 Dewey number

 332.6453015192
 519
 http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut

 t7HqFgHlOoc
 h7w4ywoQmQU
 g9cJKIerhgU
 Language note
 English
 LC call number

 QA273.A1274.9
 QA274274.9
 Literary form
 non fiction
 Nature of contents
 dictionaries
 http://library.link/vocab/relatedWorkOrContributorName

 Roynette, Bernard.
 Yor, Marc.
 Series statement
 Springer Finance Lecture Notes,
 http://library.link/vocab/subjectName

 Distribution (Probability theory
 Finance
 Probability Theory and Stochastic Processes
 Quantitative Finance
 Label
 Option Prices as Probabilities : A New Look at Generalized BlackScholes Formulae, by Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)
 Note
 Description based upon print version of record
 Bibliography note
 Includes bibliographical references (p. 259263) and index
 Carrier category
 online resource
 Carrier category code

 cr
 Content category
 text
 Content type code

 txt
 Contents
 Reading the BlackScholes Formula in Terms of First and Last Passage Times  Generalized BlackScholes Formulae for Martingales, in Terms of Last Passage Times  Representation of some particular Azéma supermartingales  An Interesting Family of BlackScholes 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 PseudoInverses for Bessel and Related Processes  Existence of PseudoInverses for Diffusions
 Dimensions
 unknown
 Edition
 1st ed. 2010.
 Extent
 1 online resource (281 p.)
 Form of item
 online
 Isbn
 9781282835344
 Media category
 computer
 Media type code

 c
 Other control number
 10.1007/9783642103957
 Specific material designation
 remote
 System control number

 (CKB)2670000000007072
 (EBL)511188
 (OCoLC)502479152
 (SSID)ssj0000372679
 (PQKBManifestationID)11256916
 (PQKBTitleCode)TC0000372679
 (PQKBWorkID)10422918
 (PQKB)10469079
 (DEHe213)9783642103957
 (MiAaPQ)EBC511188
 (EXLCZ)992670000000007072
 Label
 Option Prices as Probabilities : A New Look at Generalized BlackScholes Formulae, by Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)
 Note
 Description based upon print version of record
 Bibliography note
 Includes bibliographical references (p. 259263) and index
 Carrier category
 online resource
 Carrier category code

 cr
 Content category
 text
 Content type code

 txt
 Contents
 Reading the BlackScholes Formula in Terms of First and Last Passage Times  Generalized BlackScholes Formulae for Martingales, in Terms of Last Passage Times  Representation of some particular Azéma supermartingales  An Interesting Family of BlackScholes 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 PseudoInverses for Bessel and Related Processes  Existence of PseudoInverses for Diffusions
 Dimensions
 unknown
 Edition
 1st ed. 2010.
 Extent
 1 online resource (281 p.)
 Form of item
 online
 Isbn
 9781282835344
 Media category
 computer
 Media type code

 c
 Other control number
 10.1007/9783642103957
 Specific material designation
 remote
 System control number

 (CKB)2670000000007072
 (EBL)511188
 (OCoLC)502479152
 (SSID)ssj0000372679
 (PQKBManifestationID)11256916
 (PQKBTitleCode)TC0000372679
 (PQKBWorkID)10422918
 (PQKB)10469079
 (DEHe213)9783642103957
 (MiAaPQ)EBC511188
 (EXLCZ)992670000000007072
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.libraries.ou.edu/portal/OptionPricesasProbabilitiesANewLookat/ru_LiGsSWIY/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.libraries.ou.edu/portal/OptionPricesasProbabilitiesANewLookat/ru_LiGsSWIY/">Option Prices as Probabilities : A New Look at Generalized BlackScholes Formulae, by Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.libraries.ou.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.libraries.ou.edu/">University of Oklahoma Libraries</a></span></span></span></span></div>