Option Prices as Probabilities A New Look at Generalized Black-Scholes Formulae /

• Κύριοι συγγραφείς: Profeta, Cristophe (Συγγραφέας), Roynette, Bernard (Συγγραφέας), Yor, Marc (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
• Σειρά: Springer Finance
• Θέματα: Mathematics.; Economics, Mathematical.; Probabilities.; Probability Theory and Stochastic Processes.; Quantitative Finance.

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...

Πίνακας περιεχομένων:

• 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.