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

by Christophe Profeta
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Current price ₹3,672.00
Original price ₹5,649.00
Original price ₹5,649.00
Original price ₹5,649.00
(-35%)
₹3,672.00
Current price ₹3,672.00

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Book cover type: Paperback
  • ISBN13: 9783642103940
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 270
  • Original Price: EUR 49.99
  • Language: English
  • Edition: N/A
  • Item Weight: 444 grams
  • BISAC Subject(s): Applied, Probability & Statistics / General, and Finance / General

From the Back Cover

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.

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: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes... They are developed in eight chapters, with complements, appendices and exercises.

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