| 000 | 00442nam a2200133Ia 4500 | ||
|---|---|---|---|
| 999 |
_c170356 _d170356 |
||
| 020 | _a9783642103940 | ||
| 040 | _cCUS | ||
| 082 |
_a519.2 _bPRO/O |
||
| 100 | _aProfeta, Christophe | ||
| 245 |
_aOption prices as probabilities: a new look at generalized Black-Scholes formulae/ _cChristophe Profeta, Bernard Roynette and Marc Yor |
||
| 260 |
_aLondon: _bSpringer, _c2010. |
||
| 300 |
_axxi, 270 p. ; _c24 cm. |
||
| 440 | _a(Springer finance) | ||
| 505 | _aReading 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. | ||
| 650 | _aDistribution (Probability theory) | ||
| 650 | _aMathematics | ||
| 700 | _aRoynette, Bernard | ||
| 700 | _aYor, Marc | ||
| 942 | _cWB16 | ||