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

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Listed:
  • Amel Bentata

    (PMA)

  • Marc Yor

    (PMA, Iuf)

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.

Suggested Citation

  • 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.
    • Handle: RePEc:arx:papers:0806.0239
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    File URL: http://arxiv.org/pdf/0806.0239
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    References listed on IDEAS

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    1. 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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    Cited by:

    1. Erik Ekström & Johan Tysk, 2012. "Dupire'S Equation For Bubbles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(06), pages 1-12.
    2. 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.

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