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＜電子ブック＞
Option Prices as Probabilities : A New Look at Generalized Black-Scholes Formulae / by Christophe Profeta, Bernard Roynette, Marc Yor
(Springer Finance Lecture Notes. ISSN:25246828)

版	1st ed. 2010.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2010
本文言語	英語
大きさ	XXI, 270 p. 3 illus : online resource
著者標目	*Profeta, Christophe author Roynette, Bernard author Yor, Marc author SpringerLink (Online service)
件　名	LCSH:Probabilities LCSH:Social sciences -- Mathematics  全ての件名で検索 FREE:Probability Theory FREE:Mathematics in Business, Economics and Finance
一般注記	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 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 HTTP:URL=https://doi.org/10.1007/978-3-642-10395-7

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