Option Prices as Probabilities

Name: Option Prices as Probabilities
Brand: Springer, Berlin
SKU: 9783642103940
Price: 52.64 EUR
Availability: InStock

A New Look at Generalized Black-Scholes Formulae

Автор: Christophe Profeta, Bernard Roynette, Marc Yor

Език:

Корици: С меки корици

Издател: Springer, Berlin

Наличност: Външен склад

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The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at...

Информация за книгата

Автор

Christophe Profeta, Bernard Roynette, Marc Yor

Език

Английски език

Корици

Книга - С меки корици

Издадена

2010

страници

270

EAN

9783642103940

ISBN

3642103944

Enbook ID

01655074

Издател

Springer, Berlin

Теглоt

424

Размери

156 x 236 x 15

Пълно описание

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 ever 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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Option Prices as Probabilities

A New Look at Generalized Black-Scholes Formulae

Информация за книгата

Пълно описание

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