Option prices as probabilities: a new look at generalized Black-Scholes formulae/ Christophe Profeta, Bernard Roynette and Marc Yor
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Item type | Current library | Call number | Status | Date due | Barcode | Item holds |
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Central Library, Sikkim University General Book Section | 519.2 PRO/O (Browse shelf(Opens below)) | Available | P25334 |
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519.2 K.L/I Introduction to stochastic integration // | 519.2 KAL/F Foundations of modern probability/ | 519.2 PIE/P Point processes and queues, martingale dynamics // | 519.2 PRO/O Option prices as probabilities: a new look at generalized Black-Scholes formulae/ | 519.2 ROH/I An Introduction To Probability And Statistics,/ | 519.2 ROS/I Introduction to probability models/ | 519.2 ROS/I Introduction to probability models/ |
Reading the Black-Scholes formula in terms of first and last passage times --
Generalized Black-Scholes formulae for martingales, in terms of last passage time --
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An interesting family of Black-Scholes perpetuities --
Study of last passage times up to a finite horizon --
Put option as joint distribution function in strike and maturity --
Existence and properties of pseudo-inverses for Bessel and related processes --
Existence of pseudo-inverses for diffusions --
A. Complements --
B. Bessel Functions and Bessel Processes.
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