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Unifying Black–Scholes Type Formulae Which Involve Brownian Last Passage Times up to a Finite Horizon

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  • D. Madan
  • B. Roynette
  • M. Yor

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  • D. Madan & B. Roynette & M. Yor, 2008. "Unifying Black–Scholes Type Formulae Which Involve Brownian Last Passage Times up to a Finite Horizon," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(2), pages 97-115, June.
    • Handle: RePEc:kap:apfinm:v:15:y:2008:i:2:p:97-115
    DOI: 10.1007/s10690-008-9068-y
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    References listed on IDEAS

    as
    1. Amel Bentata & Marc Yor, 2008. "From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon," Papers 0806.0239, arXiv.org.
    2. Madan, D. & Roynette, B. & Yor, Marc, 2008. "Option prices as probabilities," Finance Research Letters, Elsevier, vol. 5(2), pages 79-87, June.
    Full references (including those not matched with items on IDEAS)

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