Könyv Option Prices as Probabilities Christophe Profeta

Option Prices as Probabilities

A New Look at Generalized Black-Scholes Formulae

Nyelv: Angol
Kötés: Puha kötésű
Elérhetőség: Beszállítói készleten
Küldés 5-8 napon belül
19 223 Ft
The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at...

Információk a könyvről

Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
2010
oldal
270
EAN
9783642103940
ISBN
3642103944
Enbook ID
01655074
Súly
424
Méretek
156 x 236 x 15

Teljes leírás

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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