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...
| Main Authors: | , , |
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2010, 2010
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| Edition: | 1st ed. 2010 |
| Series: | Springer Finance Lecture Notes
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of 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 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