Two stock options at the races: Black–Scholes forecasts

DOI10.1080/14697688.2011.591423zbMath1279.91164arXiv1005.1760OpenAlexW4301023322MaRDI QIDQ2873553

G. Oshanin, Grégory Schehr

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.1760

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Covariance of the running range of a Brownian trajectory ⋮ On the physical interpretation of statistical data from black-box systems ⋮ Time averaging, ageing and delay analysis of financial time series ⋮ Exact first-passage time distributions for three random diffusivity models

Cites Work

• The Pricing of Options and Corporate Liabilities
• Exponential functionals of Brownian motion. II: Some related diffusion processes
• Random difference equations and renewal theory for products of random matrices
• Steady flux in a continuous-space Sinai chain
• On some exponential functionals of Brownian motion
• Exponential functionals of Brownian motion and disordered systems
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The log-normal approximation in financial and other computations
• The Limiting Behavior of a One-Dimensional Random Walk in a Random Medium

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