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

• Main Authors: Profeta, Cristophe (Author), Roynette, Bernard (Author), Yor, Marc (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
• Series: Springer Finance
• Subjects: 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...

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.