Option Prices as Probabilities A New Look at Generalized Black-Scholes Formulae
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. T...
| Autor principal: | |
|---|---|
| Autor Corporativo: | |
| Otros Autores: | , |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2010.
|
| Colección: | Springer Finance.
Springer eBooks. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b32923727*spi |
Tabla de Contenidos:
- 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.
