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

DOI10.1007/s10690-008-9068-yzbMath1163.91414OpenAlexW2122048154MaRDI QIDQ1020596

Marc Yor, Bernard Roynette, Dilip B. Madan

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)

Related Items

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 ⋮ Bridging the first and last passage times for Lévy models ⋮ A remark on static hedging of options written on the last exit time ⋮ The new odd log-logistic generalized inverse Gaussian regression model ⋮ Call option prices based on Bessel processes ⋮ Characterizations of GIG laws: a survey ⋮ Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon ⋮ On the pricing of options written on the last exit time ⋮ Strict local martingales and bubbles

Cites Work

• Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
• 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
• Exponential models, brownian motion, and independence
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