[PDF.28oi] Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae (Springer Finance)

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

[PDF.ik53] Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae (Springer Finance)

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 |  2010-01-26 |  2010-01-26 | File type: PDF

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||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 w

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 ...

You can specify the type of files you want, for your device.Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae (Springer Finance)   |  Christophe Profeta, Bernard Roynette, Marc Yor. I have read it a couple of times and even shared with my family members. Really good. Couldnt put it down.

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