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

Amel Bentata and Marc Yor
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Amel Bentata: PMA
Marc Yor: PMA, Iuf

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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.

Date: 2008-06
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