Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae: Springer Finance
Autor Christophe Profeta, Bernard Roynette, Marc Yoren Limba Engleză Paperback – 12 feb 2010
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Specificații
ISBN-13: 9783642103940
ISBN-10: 3642103944
Pagini: 294
Ilustrații: XXI, 270 p. 3 illus.
Dimensiuni: 155 x 235 x 15 mm
Greutate: 0.41 kg
Ediția:2010
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seriile Springer Finance, Springer Finance Lecture Notes
Locul publicării:Berlin, Heidelberg, Germany
ISBN-10: 3642103944
Pagini: 294
Ilustrații: XXI, 270 p. 3 illus.
Dimensiuni: 155 x 235 x 15 mm
Greutate: 0.41 kg
Ediția:2010
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seriile Springer Finance, Springer Finance Lecture Notes
Locul publicării:Berlin, Heidelberg, Germany
Public țintă
ResearchCuprins
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.
Textul de pe ultima copertă
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.
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.
Caracteristici
To the best of our knowledge this book discusses in a unique way last passage times Includes supplementary material: sn.pub/extras