Unifying Black–Scholes Type Formulae Which Involve Brownian Last Passage Times up to a Finite Horizon
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DOI: 10.1007/s10690-008-9068-y
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References listed on IDEAS
- 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.
- Madan, D. & Roynette, B. & Yor, Marc, 2008. "Option prices as probabilities," Finance Research Letters, Elsevier, vol. 5(2), pages 79-87, June.
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Keywords
Option pricing; Local times; First passage times; Last passage times;All these keywords.
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