{"entities":{"Q2654811":{"pageid":2665554,"ns":120,"title":"Item:Q2654811","lastrevid":50883512,"modified":"2026-01-15T14:04:58Z","type":"item","id":"Q2654811","labels":{"en":{"language":"en","value":"Option prices as probabilities. A new look at generalized Black-Scholes formulae"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5661404"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2654811$4851384E-666C-4002-AC42-C2712E17F3B4","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"09dd627c2d7b67299421e22e20b3cb14f2213a4d","datavalue":{"value":{"text":"Option prices as probabilities. A new look at generalized Black-Scholes formulae","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2654811$6FF93CB5-759A-4760-B138-FA8EAEE6C5F6","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"2a4c743acadf539bdf75194dc234b6a75420a522","datavalue":{"value":"1188.91004","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2654811$29BC12C8-B01D-459E-B4CB-F7A5CF900D76","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"7dd1dc48ae19e46bcbd27368e6f6ac28f444810f","datavalue":{"value":"10.1007/978-3-642-10395-7","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2654811$D33745C9-A2BE-4DC0-AB55-A4848314D77F","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"ecf4f29bf42a5a764ab5f31922c09ab18aef4010","datavalue":{"value":{"entity-type":"item","numeric-id":456218,"id":"Q456218"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2654811$53C8F8A9-5E25-4431-80AE-D134D25B50A4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"d99d7e5deb29005e9399e816076e82d8eeca98bd","datavalue":{"value":{"entity-type":"item","numeric-id":210677,"id":"Q210677"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2654811$4BA21659-F95B-404C-8FBC-33C803C888D7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"80bb8af11ab41daed2f8465ebc16e18da79993d8","datavalue":{"value":{"entity-type":"item","numeric-id":180924,"id":"Q180924"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2654811$F6C22841-7762-4520-BE9C-F6659A4C9929","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"d40d3d127fe5578c65850bfea555370b03752c8b","datavalue":{"value":{"entity-type":"item","numeric-id":188065,"id":"Q188065"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2654811$327306F4-B0C0-4FCE-B4D4-8697F460D5AE","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"6d41c38ed480d2e464933417b446e6f70f39ae41","datavalue":{"value":{"time":"+2010-01-21T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2654811$DA8B8252-951B-4D4B-BED3-1FAE84D33E56","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"6ad505d5e489120ddab1e52fee38d40d7e1b42c4","datavalue":{"value":"The monograph consists of eight chapters, followed by three complements and three appendices. It starts with the Black-Scholes formulae for call and put options and their relationship, and a new look on these objects is developed. Chapter 1 presents two new formulations of the Black-Scholes formula, the first one in terms of first and last passage times of a Brownian motion with drift, and the second one as an expectation with respect to the law of the square of a Brownian motion. Chapter 2 is devoted to the generalized Black-Scholes formulae presented in terms of last passage times of underlying martingales and local martingales. It is shown in chapter 3 how the results obtained in chapter 2 for supermartingales associated with a last passage time at a given level fit with a more general representation of Az\u00e9ma supermartingales. Also, a representation problem for Skorokhod submartingales is discussed. Chapter 4 describes a family of Black--Scholes perpetuities, whereas chapter 5 studies last passage times up to a finite horizon. This leads to the definition of the notion of past-future Brownian martingales and their detailed study. Chapter 6 presents put option as joint distribution function in strike and maturity. In this connection, the notion of pseudo-inverses is discussed, and existence and properties of pseudo-inverses for Bessel and related processes and for diffusions are established in chapters 7 and 8.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2654811$ED68A9B7-7308-4552-BF50-D67A145552D6","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"dccdbd0e62d4e76222cc72ffd93ed1b71c389e37","datavalue":{"value":"91-02","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2654811$B7F96392-C290-479E-A448-567039843446","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2654811$8296F68F-BAA9-46A4-886D-2A7790CC2D69","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"54006f64703308f565a048b96b7c6d14d8f5c177","datavalue":{"value":"60G44","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2654811$AD6923A9-DFF2-43C9-B5B1-3378E97F0857","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"88c8d0405ee76c2940780cfb4e0febabc9eae933","datavalue":{"value":"60G48","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2654811$C9025BB8-DFE4-4355-B7ED-14A281C8B7C6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"6e0e439813fbf5e4d372bca5db5b7a21ee3e3e8d","datavalue":{"value":"60J55","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2654811$A18FFD73-D5A1-4971-BC6D-6A4A80C84FAF","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"4a4f48fb08cc215148c1686f44aaaf54f43cc16c","datavalue":{"value":"5661404","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2654811$C7BEFDEA-F8F7-44BE-BEC3-EAD1A4FEF30C","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"568f9d1e104ac6fb60c1678f49022dce8a3ed54b","datavalue":{"value":"option prices","type":"string"},"datatype":"string"},"type":"statement","id":"Q2654811$04024AC0-55E5-4889-8F6A-903A206A89FD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"d044430da996a52106b2e75c918a0f04c3e143c6","datavalue":{"value":"generalized Black-Scholes formula","type":"string"},"datatype":"string"},"type":"statement","id":"Q2654811$BFBA967A-196E-4DEA-8874-1AAAD98D084F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"2c2abb5667636347e4789411a800b2a4bf681ff5","datavalue":{"value":"martingales and submartingales","type":"string"},"datatype":"string"},"type":"statement","id":"Q2654811$2A7BD420-1E75-428F-A324-B424EFED4C03","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b5354b815c33553cc76cc009cf701925973bcf24","datavalue":{"value":"last passage times","type":"string"},"datatype":"string"},"type":"statement","id":"Q2654811$479164D0-9EC1-4F8D-9EBF-4A510FF5E8DA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"867198c49192c4c01d2ef61de6cc2de3363b7e27","datavalue":{"value":"Az\u00e9ma supermartingales","type":"string"},"datatype":"string"},"type":"statement","id":"Q2654811$574C75A7-97C9-45FE-8603-1BE9739C31B4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"c422b1e5edf68b3c630d31aa864cd97cfa624ddd","datavalue":{"value":"Bessel processes","type":"string"},"datatype":"string"},"type":"statement","id":"Q2654811$D92FA695-38AA-4052-8D9B-0C9CDDEFA98E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"720ca0c8e0cdd36ba0f1d7b23cc024edf8c90fbc","datavalue":{"value":"pseudo-inverses","type":"string"},"datatype":"string"},"type":"statement","id":"Q2654811$6AC07E81-E202-4A53-AFFC-09B4A4219BA6","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"fe109cf65b5e526b78e778f4289ef05f064c0043","datavalue":{"value":{"entity-type":"item","numeric-id":590139,"id":"Q590139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2654811$1735183B-EC92-4834-A09C-E4084E4086D8","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2654811$A212F187-95D8-443E-8EEB-6EABE43746F1","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"b697591d3bc34bd2161db9ecdfe41ea73df948ba","datavalue":{"value":"https://doi.org/10.1007/978-3-642-10395-7","type":"string"},"datatype":"url"},"type":"statement","id":"Q2654811$8B478D58-89B9-4FF3-B33F-2953F95912C6","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"c89073ee69feea24bbd73a1de1c2402d7a5d24fc","datavalue":{"value":"W4251338641","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2654811$AAEA0D97-96F1-4197-BC5A-6FB2615A3811","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c2e344136a38529aec9953ed3ae1ed053c804525","datavalue":{"value":{"entity-type":"item","numeric-id":3400129,"id":"Q3400129"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e5cf8e7987681c27540b86fc30f99ef8b4a21d39","datavalue":{"value":{"amount":"+0.8052549362182617","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2654811$6489E3C6-7C02-45A9-B716-BEB836E13C78","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"cf06fc047174f1e17ba5f2cb0b7ba53409880416","datavalue":{"value":{"entity-type":"item","numeric-id":3147843,"id":"Q3147843"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"53456ec33cf31a0375edb96754321b94a5fd9e9c","datavalue":{"value":{"amount":"+0.8046066164970398","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2654811$3EE56846-FD97-4D91-8BE0-E02E9E656572","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"5ea067ba39b767e7ff3e95a4d048cf843590bb5e","datavalue":{"value":{"entity-type":"item","numeric-id":1020596,"id":"Q1020596"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ac7cc38c134de2f43ab79da4502dc5ad688328e1","datavalue":{"value":{"amount":"+0.7918809652328491","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2654811$5EAB7494-C508-4048-8A5B-2239E12F51E5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"d621c4b7d40d26327e1c284f79bb284d737d0316","datavalue":{"value":{"entity-type":"item","numeric-id":1041303,"id":"Q1041303"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"4212fc60dca68d138601a334a4fa54179b1dfde7","datavalue":{"value":{"amount":"+0.772003710269928","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2654811$D7D6D1FB-DE9F-44A7-A219-D8C5AE72ACEB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"ef0418d633b5bbeaf09235d1235d8f55317961d8","datavalue":{"value":{"entity-type":"item","numeric-id":4819432,"id":"Q4819432"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ffbb795fc8f955ec8e0971330063929005db420e","datavalue":{"value":{"amount":"+0.7641384601593018","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2654811$8A4BAD8B-7D30-4EC1-96B0-0F49341A0456","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:2654811","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:2654811"}}}}}