Option prices as probabilities. A new look at generalized Black-Scholes formulae

DOI10.1007/978-3-642-10395-7zbMath1188.91004OpenAlexW4251338641MaRDI QIDQ2654811

Bernard Roynette, Christophe Profeta, Marc Yor

Publication date: 21 January 2010

Published in: Springer Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-10395-7

zbMATH Keywords

Bessel processesoption pricespseudo-inverseslast passage timesgeneralized Black-Scholes formulaAzéma supermartingalesmartingales and submartingales

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Local time and additive functionals (60J55)

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