Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon (Q1020596)
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scientific article; zbMATH DE number 5559884
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| English | Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon |
scientific article; zbMATH DE number 5559884 |
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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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0.8029817938804626
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0.7918809652328491
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0.7792127132415771
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0.7255826592445374
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