PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE

DOI10.1142/S0219024909005580MaRDI QIDQ3400129zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, Bernard Roynette, Marc Yor

Publication date 5 February 2010

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024909005580

zbMATH Keywords

pseudo-inverselocal time-space calculusfirst and last passage timesBlack-Scholes set up

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 206027 (Why is no real title available?)
• Integration with respect to local time

Cited in

(4)

• Option prices as probabilities. A new look at generalized Black-Scholes formulae
• A note on the joint distribution of \(\alpha, \beta \)-percentiles and its application to the option pricing
• Fractional intertwinings between two Markov semigroups
• Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon

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