The Resource Option Prices as Probabilities : A New Look at Generalized Black-Scholes Formulae, by Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)

Option Prices as Probabilities : A New Look at Generalized Black-Scholes Formulae, by Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)

Label
Option Prices as Probabilities : A New Look at Generalized Black-Scholes Formulae
Title
Option Prices as Probabilities
Title remainder
A New Look at Generalized Black-Scholes Formulae
Statement of responsibility
by Christophe Profeta, Bernard Roynette, Marc Yor
Creator
Contributor
Author
Author
Subject
Language
  • eng
  • eng
Summary
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
Member of
Is Subseries of
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.A1-274.9
  • QA274-274.9
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 Black-Scholes Formulae, by Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references (p. 259-263) and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
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
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
10.1007/978-3-642-10395-7
Specific material designation
remote
System control number
  • (CKB)2670000000007072
  • (EBL)511188
  • (OCoLC)502479152
  • (SSID)ssj0000372679
  • (PQKBManifestationID)11256916
  • (PQKBTitleCode)TC0000372679
  • (PQKBWorkID)10422918
  • (PQKB)10469079
  • (DE-He213)978-3-642-10395-7
  • (MiAaPQ)EBC511188
  • (EXLCZ)992670000000007072
Label
Option Prices as Probabilities : A New Look at Generalized Black-Scholes Formulae, by Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references (p. 259-263) and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
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
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
10.1007/978-3-642-10395-7
Specific material designation
remote
System control number
  • (CKB)2670000000007072
  • (EBL)511188
  • (OCoLC)502479152
  • (SSID)ssj0000372679
  • (PQKBManifestationID)11256916
  • (PQKBTitleCode)TC0000372679
  • (PQKBWorkID)10422918
  • (PQKB)10469079
  • (DE-He213)978-3-642-10395-7
  • (MiAaPQ)EBC511188
  • (EXLCZ)992670000000007072

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