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100301s2010 gw | s |||| 0|eng d |
| 020 |
# |
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|a 9783642103957
|9 978-3-642-10395-7
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| 024 |
7 |
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|a 10.1007/978-3-642-10395-7
|2 doi
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| 050 |
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|a QA273.A1-274.9
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| 050 |
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|a QA274-274.9
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|a PBT
|2 bicssc
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|a PBWL
|2 bicssc
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|a MAT029000
|2 bisacsh
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|a 519.2
|2 23
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| 100 |
1 |
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|a Profeta, Cristophe.
|e author.
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| 245 |
1 |
0 |
|a Option Prices as Probabilities
|b A New Look at Generalized Black-Scholes Formulae /
|c by Cristophe Profeta, Bernard Roynette, Marc Yor.
|h [electronic resource] :
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| 264 |
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1 |
|a Berlin, Heidelberg :
|b Springer Berlin Heidelberg,
|c 2010.
|
| 300 |
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|a XXI, 270p. 3 illus.
|b online resource.
|
| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 347 |
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|a text file
|b PDF
|2 rda
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| 490 |
1 |
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|a Springer Finance
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| 520 |
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|a The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometric Brownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense. The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes... They are developed in eight chapters, with complements, appendices and exercises.
|
| 650 |
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0 |
|a Mathematics.
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| 650 |
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|a Finance.
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| 650 |
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|a Distribution (Probability theory).
|
| 650 |
1 |
4 |
|a Mathematics.
|
| 650 |
2 |
4 |
|a Probability Theory and Stochastic Processes.
|
| 650 |
2 |
4 |
|a Quantitative Finance.
|
| 700 |
1 |
# |
|a Roynette, Bernard.
|e author.
|
| 700 |
1 |
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|a Yor, Marc.
|e author.
|
| 710 |
2 |
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|a SpringerLink (Online service)
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| 773 |
0 |
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|t Springer eBooks
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| 776 |
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8 |
|i Printed edition:
|z 9783642103940
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| 830 |
# |
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|a Springer Finance
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| 856 |
4 |
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|u https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-10395-7
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| 912 |
# |
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|a ZDB-2-SMA
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| 950 |
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|a Mathematics and Statistics (Springer-11649)
|