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Option prices as probabilities: a new look at generalized Black-Scholes formulae/ Christophe Profeta, Bernard Roynette and Marc Yor

By: Profeta, ChristopheContributor(s): Roynette, Bernard | Yor, MarcMaterial type: Text

TextSeries: (Springer finance)Publication details: London: Springer, 2010Description: xxi, 270 p. ; 24 cmISBN: 9783642103940Subject(s): Distribution (Probability theory) | MathematicsDDC classification: 519.2

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 time -- -- 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 -- A. Complements -- B. Bessel Functions and Bessel Processes.

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
General Books	Central Library, Sikkim University General Book Section	519.2 PRO/O (Browse shelf(Opens below))	Available		P25334

Total holds: 0

Reading the Black-Scholes formula in terms of first and last passage times --
Generalized Black-Scholes formulae for martingales, in terms of last passage time --
--
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 --
A. Complements --
B. Bessel Functions and Bessel Processes.

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