Option Prices as Probabilities

Cristophe Profeta (), Bernard Roynette () and Marc Yor
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Cristophe Profeta: Université Nancy I
Bernard Roynette: Université Nancy I
Marc Yor: Université Paris VI

in Springer Finance from Springer, currently edited by Francesca Biagini, Bruno Bouchard, Mark Broadie, Paolo Guasoni, Charles-Albert Lehalle, Mathieu Rosenbaum

Date: 2010
ISBN: 978-3-642-10395-7
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Chapters in this book:

Ch Chapter 1 Reading the Black-Scholes Formula in Terms of First and Last Passage Times

Christophe Profeta, Bernard Roynette and Marc Yor

Ch Chapter 2 Generalized Black-Scholes Formulae for Martingales, in Terms of Last Passage Times

Christophe Profeta, Bernard Roynette and Marc Yor

Ch Chapter 3 Representation of some particular Azéma supermartingales

Christophe Profeta, Bernard Roynette and Marc Yor

Ch Chapter 4 An Interesting Family of Black-Scholes Perpetuities

Christophe Profeta, Bernard Roynette and Marc Yor

Ch Chapter 5 Study of Last Passage Times up to a Finite Horizon

Christophe Profeta, Bernard Roynette and Marc Yor

Ch Chapter 6 Put Option as Joint Distribution Function in Strike and Maturity

Christophe Profeta, Bernard Roynette and Marc Yor

Ch Chapter 7 Existence and Properties of Pseudo-Inverses for Bessel and Related Processes

Christophe Profeta, Bernard Roynette and Marc Yor

Ch Chapter 8 Existence of Pseudo-Inverses for Diffusions

Christophe Profeta, Bernard Roynette and Marc Yor

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DOI: 10.1007/978-3-642-10395-7

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