Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon (Q1020596): Difference between revisions
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| Property / cites work: On the pricing of options written on the last exit time / rank | |||
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| Property / cites work: PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE / rank | |||
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| Property / cites work: Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon / rank | |||
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| Property / cites work: Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications / rank | |||
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| Property / cites work: Q4938946 / rank | |||
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| Property / cites work: Exponential models, brownian motion, and independence / rank | |||
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| Property / cites work: Q4349251 / rank | |||
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Latest revision as of 14:19, 1 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon |
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Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon (English)
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29 May 2009
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option pricing
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local times
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first passage times
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last passage times
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