Springer Finance Lecture Notes

Option Prices as Probabilities

A New Look at Generalized Black-Scholes Formulae

Authors: Profeta, Christophe, Roynette, Bernard, Yor, Marc

  • To the best of our knowledge this book discusses in a unique way last passage times

Buy this book

eBook $79.99
price for USA (gross)
  • ISBN 978-3-642-10395-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $109.00
price for USA
  • ISBN 978-3-642-10394-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

Table of contents (8 chapters)

  • Reading the Black-Scholes Formula in Terms of First and Last Passage Times

    Profeta, Christophe (et al.)

    Pages 1-20

  • Generalized Black-Scholes Formulae for Martingales, in Terms of Last Passage Times

    Profeta, Christophe (et al.)

    Pages 21-63

  • Representation of some particular AzĂ©ma supermartingales

    Profeta, Christophe (et al.)

    Pages 65-87

  • An Interesting Family of Black-Scholes Perpetuities

    Profeta, Christophe (et al.)

    Pages 89-113

  • Study of Last Passage Times up to a Finite Horizon

    Profeta, Christophe (et al.)

    Pages 115-141

Buy this book

eBook $79.99
price for USA (gross)
  • ISBN 978-3-642-10395-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $109.00
price for USA
  • ISBN 978-3-642-10394-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Option Prices as Probabilities
Book Subtitle
A New Look at Generalized Black-Scholes Formulae
Authors
Series Title
Springer Finance Lecture Notes
Copyright
2010
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-10395-7
DOI
10.1007/978-3-642-10395-7
Softcover ISBN
978-3-642-10394-0
Edition Number
1
Number of Pages
XXI, 270
Number of Illustrations and Tables
3 b/w illustrations
Topics