Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae (Springer Finance)

0 avg rating
( 0 ratings by Goodreads )
 
9783642103940: Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae (Springer Finance)
View all copies of this ISBN edition:
 
 

The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree. This volume gives a representation of the Black-Scholes formula in terms of Brownian last passages times.

"synopsis" may belong to another edition of this title.

From the Back Cover:

The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometric Brownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973.

The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense.

The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes... They are developed in eight chapters, with complements, appendices and exercises.

"About this title" may belong to another edition of this title.

Top Search Results from the AbeBooks Marketplace

1.

Profeta, Profeta; Yor, Marc; Profeta, Christophe; Roynette, Bernard
ISBN 10: 3642103944 ISBN 13: 9783642103940
New Quantity Available: 2
Seller:
GreatBookPrices
(Columbia, MD, U.S.A.)

Book Description Condition: New. Seller Inventory # 7862522-n

More information about this seller | Contact this seller

Buy New
US$ 78.71
Convert currency

Add to Basket

Shipping: US$ 2.64
Within U.S.A.
Destination, rates & speeds

2.

Christophe Profeta, Bernard Roynette, Marc Yor
Published by Springer Berlin Heidelberg 2010-02-12, Berlin |London (2010)
ISBN 10: 3642103944 ISBN 13: 9783642103940
New paperback Quantity Available: > 20
Seller:
Blackwell's
(Oxford, OX, United Kingdom)

Book Description Springer Berlin Heidelberg 2010-02-12, Berlin |London, 2010. paperback. Condition: New. Seller Inventory # 9783642103940

More information about this seller | Contact this seller

Buy New
US$ 75.85
Convert currency

Add to Basket

Shipping: US$ 6.16
From United Kingdom to U.S.A.
Destination, rates & speeds

3.

Profeta, Profeta; Yor, Marc; Profeta, Christophe; Roynette, Bernard
ISBN 10: 3642103944 ISBN 13: 9783642103940
New Quantity Available: 2
Seller:
GreatBookPricesUK
(Castle Donington, DERBY, United Kingdom)

Book Description Condition: New. Seller Inventory # 7862522-n

More information about this seller | Contact this seller

Buy New
US$ 68.55
Convert currency

Add to Basket

Shipping: US$ 18.51
From United Kingdom to U.S.A.
Destination, rates & speeds

4.

Christophe Profeta, Bernard Roynette, Marc Yor
Published by Springer 2010-02-12 (2010)
ISBN 10: 3642103944 ISBN 13: 9783642103940
New Paperback Quantity Available: 2
Seller:
Chiron Media
(Wallingford, United Kingdom)

Book Description Springer 2010-02-12, 2010. Paperback. Condition: New. Seller Inventory # 6666-LBR-9783642103940

More information about this seller | Contact this seller

Buy New
US$ 81.40
Convert currency

Add to Basket

Shipping: US$ 17.71
From United Kingdom to U.S.A.
Destination, rates & speeds

5.

Profeta, Christophe
Published by Springer 2010-02 (2010)
ISBN 10: 3642103944 ISBN 13: 9783642103940
New Quantity Available: 1
Seller:
Chiron Media
(Wallingford, United Kingdom)

Book Description Springer 2010-02, 2010. PF. Condition: New. Seller Inventory # 6666-LSI-9783642103940

More information about this seller | Contact this seller

Buy New
US$ 86.64
Convert currency

Add to Basket

Shipping: US$ 17.71
From United Kingdom to U.S.A.
Destination, rates & speeds

6.

Cristophe Profeta
Published by Springer-Verlag Gmbh Feb 2010 (2010)
ISBN 10: 3642103944 ISBN 13: 9783642103940
New Taschenbuch Quantity Available: 1
Seller:
Rheinberg-Buch
(Bergisch Gladbach, Germany)

Book Description Springer-Verlag Gmbh Feb 2010, 2010. Taschenbuch. Condition: Neu. Neuware - 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 a risky asset. Let, for every K 0: + (t) :=E (K E ) (0.1) K t and + C (t) :=E (E K) (0.2) K t denote respectively the price of a European put, resp. 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 270 pp. Englisch. Seller Inventory # 9783642103940

More information about this seller | Contact this seller

Buy New
US$ 90.04
Convert currency

Add to Basket

Shipping: US$ 18.66
From Germany to U.S.A.
Destination, rates & speeds

7.

Cristophe Profeta
Published by Springer-Verlag Gmbh Feb 2010 (2010)
ISBN 10: 3642103944 ISBN 13: 9783642103940
New Taschenbuch Quantity Available: 1
Seller:
BuchWeltWeit Inh. Ludwig Meier e.K.
(Bergisch Gladbach, Germany)

Book Description Springer-Verlag Gmbh Feb 2010, 2010. Taschenbuch. Condition: Neu. Neuware - 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 a risky asset. Let, for every K 0: + (t) :=E (K E ) (0.1) K t and + C (t) :=E (E K) (0.2) K t denote respectively the price of a European put, resp. 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 270 pp. Englisch. Seller Inventory # 9783642103940

More information about this seller | Contact this seller

Buy New
US$ 90.04
Convert currency

Add to Basket

Shipping: US$ 18.66
From Germany to U.S.A.
Destination, rates & speeds

8.

Christophe Profeta, Bernard Roynette, Marc Yor
Published by Springer (2010)
ISBN 10: 3642103944 ISBN 13: 9783642103940
New Paperback Quantity Available: 1
Seller:
Ergodebooks
(RICHMOND, TX, U.S.A.)

Book Description Springer, 2010. Paperback. Condition: New. 2010. Seller Inventory # DADAX3642103944

More information about this seller | Contact this seller

Buy New
US$ 109.34
Convert currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, rates & speeds

9.

Cristophe Profeta
Published by Springer-Verlag Gmbh Feb 2010 (2010)
ISBN 10: 3642103944 ISBN 13: 9783642103940
New Taschenbuch Quantity Available: 2
Seller:
AHA-BUCH GmbH
(Einbeck, Germany)

Book Description Springer-Verlag Gmbh Feb 2010, 2010. Taschenbuch. Condition: Neu. Neuware - 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 a risky asset. Let, for every K 0: + (t) :=E (K E ) (0.1) K t and + C (t) :=E (E K) (0.2) K t denote respectively the price of a European put, resp. 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 270 pp. Englisch. Seller Inventory # 9783642103940

More information about this seller | Contact this seller

Buy New
US$ 90.04
Convert currency

Add to Basket

Shipping: US$ 37.59
From Germany to U.S.A.
Destination, rates & speeds

10.

Profeta, Cristophe
Published by Springer Verlag (2010)
ISBN 10: 3642103944 ISBN 13: 9783642103940
New Paperback Quantity Available: 2
Seller:
Revaluation Books
(Exeter, United Kingdom)

Book Description Springer Verlag, 2010. Paperback. Condition: Brand New. 1st edition. 270 pages. 9.25x6.25x0.50 inches. In Stock. Seller Inventory # x-3642103944

More information about this seller | Contact this seller

Buy New
US$ 121.76
Convert currency

Add to Basket

Shipping: US$ 37.02
From United Kingdom to U.S.A.
Destination, rates & speeds