Option prices as probabilities: a new look at generalized black-scholes formulae
Auteur :
Profeta, Christophe
Éditeur :
Profeta, ChristopheRoynette, Bernard,Yor, Marc,
ISBN :
9783642103940
Date de publication :
29 janv. 2010
Dimensions :
23,4 x 15,6 x 1,5 cm
Poids :
450 g
Format :
Trade paperback (US)
Langue :
Anglais
Pays d'origine :
Allemagne
The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree. This volume gives a representation of the Black-Scholes formula in terms of Brownian last passages times.