Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae

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Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae
Christophe Profeta, Beard Roynette, Marc Yor – Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae
Published: 2010-02-05 | ISBN: 3642103944 | PDF | 270 pages | 1.98 MBThe 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.



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Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae
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Tags: Option, Prices, Probabilities, Generalized, Formulae

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