Titlebook: Option Prices as Probabilities; A New Look at Genera Cristophe Profeta,Bernard Roynette,Marc Yor Book 2010 Springer-Verlag Berlin Heidelber

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書(shū)目名稱(chēng)Option Prices as Probabilities影響因子(影響力)




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微不足道

艦旗

Leisureliness

貿(mào)易

Existence and Properties of Pseudo-Inverses for Bessel and Related Processes,ework, starting with the case of Bessel (and some related) processes. We show in particular that the tail probabilities of a Bessel process of index .≥1/2 increase with respect to time; in fact it is the distribution function of a random time which is related to first and last passage times of Besse

使隔離

Existence of Pseudo-Inverses for Diffusions,We shall focus here on increasing pseudo-inverses, and we shall deal with two cases: . More precisely, we shall prove that, to a positive diffusion . starting from 0, we can associate another diffusion . such that the tail probabilities of . are the distribution functions of the last passage times o

Daily-Value

Book 2010t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometric Brownian motion, is a model t to describe the evolution of prices of

Euphonious

Book 2010p. of a European call, associated with this martingale. Let N be the cumulative distribution function of a reduced Gaussian variable: x 2 y 1 ? 2 ? N (x) := e dy. (0.3) 2? ?? The celebrated Black-Scholes formula gives an explicit expression of? (t) and K C (t) in terms ofN : K ? ? log(K) t log(K) t ? (t)= KN ? + ?N ? ? (0.4) K t 2 t 2 and ? ?

缺陷

漸強(qiáng)

Study of Last Passage Times up to a Finite Horizon,the ?.-measurable random time: . and write the analogues of formulae (1.20) and (1.21) for these times .. This will lead us to the interesting notion of past-future martingales, which we shall study in details in Section 5.2.