Option Prices as Probabilities

Name: Option Prices as Probabilities
Brand: Springer, Berlin
SKU: 9783642103940
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A New Look at Generalized Black-Scholes Formulae

Autor: Christophe Profeta, Bernard Roynette, Marc Yor

Jazyk:

Vazba: Brožovaná

Vydavatel: Springer, Berlin

Dostupnost: Skladem u dodavatele

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

Informace o knize

Autor

Christophe Profeta, Bernard Roynette, Marc Yor

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2010

Stránek

270

EAN

9783642103940

ISBN

3642103944

Enbook ID

01655074

Vydavatel

Springer, Berlin

Hmotnost

424

Rozměry

156 x 236 x 15

Kompletní popis

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

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také