Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae

by Cristophe Profeta, Marc Yor, Bernard Roynette, et al.

Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B, t? 0; F, t? 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...

• Format: Paperback
• Language: English
• ISBN: 3642103944
• ISBN13: 9783642103940
• Release Date: February 2010
• Publisher: Springer
• Length: 270 Pages
• Weight: 0.90 lbs.
• Dimensions: 0.7" x 6.0" x 9.0"