Description 
1 online resource (xxi, 270 pages) : illustrations 
Series 
Springer finance 

Springer finance.

Contents 
Reading the BlackScholes Formula in Terms of First and Last Passage Times  Generalized BlackScholes Formulae for Martingales, in Terms of Last Passage Times  Representation of some particular AzĂ©ma supermartingales  An Interesting Family of BlackScholes 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 PseudoInverses for Bessel and Related Processes  Existence of PseudoInverses for Diffusions 
Summary 
The BlackScholes 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 wellknown formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense. The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: pastfuture martingales, last passage times up to a finite horizon, pseudoinverses of processes ... They are developed in eight chapters, with complements, appendices and exercises 
Bibliography 
Includes bibliographical references (pages 259263) and index 
Notes 
Print version record 
Subject 
Options (Finance)  Prices  Mathematics.


Distribution (Probability theory)

Form 
Electronic book

Author 
Roynette, Bernard.


Yor, Marc.

LC no. 
2010920154 
ISBN 
3642103952 

9783642103957 

(paperback) 

(paperback) 
