Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
DOI10.1007/S10690-008-9068-YzbMATH Open1163.91414OpenAlexW2122048154MaRDI QIDQ1020596FDOQ1020596
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
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Cites Work
- Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
- Title not available (Why is that?)
- Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
- Title not available (Why is that?)
- 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
- Exponential models, brownian motion, and independence
Cited In (11)
- Bridging the first and last passage times for Lévy models
- The new odd log-logistic generalized inverse Gaussian regression model
- 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
- Characterizations of GIG laws: a survey
- A reading guide for last passage times with financial applications in view
- Call option prices based on Bessel processes
- Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
- A remark on static hedging of options written on the last exit time
- Strict local martingales and bubbles
- On the pricing of options written on the last exit time
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