Option prices as probabilities. A new look at generalized Black-Scholes formulae
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Publication:2654811
DOI10.1007/978-3-642-10395-7zbMath1188.91004MaRDI QIDQ2654811
Marc Yor, Bernard Roynette, Christophe Profeta
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
Bessel processes; option prices; pseudo-inverses; last passage times; generalized Black-Scholes formula; Azéma supermartingales; martingales and submartingales
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
60G48: Generalizations of martingales
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
60J55: Local time and additive functionals
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