| 000 | 03024nam a22005055i 4500 | ||
|---|---|---|---|
| 001 | 978-3-642-10395-7 | ||
| 003 | DE-He213 | ||
| 005 | 20140220084528.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 100301s2010 gw | s |||| 0|eng d | ||
| 020 |
_a9783642103957 _9978-3-642-10395-7 |
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| 024 | 7 |
_a10.1007/978-3-642-10395-7 _2doi |
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| 050 | 4 | _aQA273.A1-274.9 | |
| 050 | 4 | _aQA274-274.9 | |
| 072 | 7 |
_aPBT _2bicssc |
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| 072 | 7 |
_aPBWL _2bicssc |
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| 072 | 7 |
_aMAT029000 _2bisacsh |
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| 082 | 0 | 4 |
_a519.2 _223 |
| 100 | 1 |
_aProfeta, Cristophe. _eauthor. |
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| 245 | 1 | 0 |
_aOption Prices as Probabilities _h[electronic resource] : _bA New Look at Generalized Black-Scholes Formulae / _cby Cristophe Profeta, Bernard Roynette, Marc Yor. |
| 264 | 1 |
_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2010. |
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| 300 |
_aXXI, 270p. 3 illus. _bonline resource. |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 347 |
_atext file _bPDF _2rda |
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| 490 | 1 | _aSpringer Finance | |
| 505 | 0 | _aReading 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. | |
| 520 | _aThe 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. | ||
| 650 | 0 | _aMathematics. | |
| 650 | 0 | _aFinance. | |
| 650 | 0 | _aDistribution (Probability theory). | |
| 650 | 1 | 4 | _aMathematics. |
| 650 | 2 | 4 | _aProbability Theory and Stochastic Processes. |
| 650 | 2 | 4 | _aQuantitative Finance. |
| 700 | 1 |
_aRoynette, Bernard. _eauthor. |
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| 700 | 1 |
_aYor, Marc. _eauthor. |
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| 710 | 2 | _aSpringerLink (Online service) | |
| 773 | 0 | _tSpringer eBooks | |
| 776 | 0 | 8 |
_iPrinted edition: _z9783642103940 |
| 830 | 0 | _aSpringer Finance | |
| 856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-642-10395-7 |
| 912 | _aZDB-2-SMA | ||
| 999 |
_c111739 _d111739 |
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