From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon

arXiv0806.0239MaRDI QIDQ6209747FDOQ6209747

Authors: Amel Bentata, Marc Yor 

Publication date: 2 June 2008

Abstract: These notes are the first half of the contents of the course given by the second author at the Bachelier Seminar (February 8-15-22 2008) at IHP. They also correspond to topics studied by the first author for her Ph.D.thesis.

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