Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon

DOI10.1007/S10690-008-9068-YMaRDI QIDQ1020596zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, Bernard Roynette, Marc Yor

Publication date 29 May 2009

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-008-9068-y

zbMATH Keywords

first passage timesoption pricinglocal timeslast passage times

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites work

• scientific article; zbMATH DE number 1047476 (Why is no real title available?)
• scientific article; zbMATH DE number 1405948 (Why is no real title available?)
• Exponential models, brownian motion, and independence
• On the pricing of options written on the last exit time
• PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE
• Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
• Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon

Cited in

(11)

• Strict local martingales and bubbles
• The new odd log-logistic generalized inverse Gaussian regression model
• On the pricing of options written on the last exit time
• Characterizations of GIG laws: a survey
• A reading guide for last passage times with financial applications in view
• Predicting the last zero before an exponential time of a spectrally negative Lévy process
• Option prices as probabilities. A new look at generalized Black-Scholes formulae
• A remark on static hedging of options written on the last exit time
• Bridging the first and last passage times for Lévy models
• Call option prices based on Bessel processes
• Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon

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