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| 003 - CONTROL NUMBER IDENTIFIER |
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OSt |
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20140310151454.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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100301s2010 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783642103957 |
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978-3-642-10395-7 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
QA273.A1-274.9 |
|
|---|
| Classification number |
QA274-274.9 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519.2 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
Berlin, Heidelberg : |
| -- |
Springer Berlin Heidelberg, |
| -- |
2010. |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Profeta, Cristophe. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Option Prices as Probabilities |
| Medium |
[electronic resource] : |
| Remainder of title |
A New Look at Generalized Black-Scholes Formulae / |
| Statement of responsibility, etc |
by Cristophe Profeta, Bernard Roynette, Marc Yor. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XXI, 270p. 3 illus. |
| Other physical details |
online resource. |
| 440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Springer Finance |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
Reading the Black-Scholes Formula in Terms of First and Last Passage Times -- Generalized Black-Scholes Formulae for Martingales, in Terms of Last Passage Times -- Representation of some particular Azéma supermartingales -- An Interesting Family of Black-Scholes Perpetuities -- Study of Last Passage Times up to a Finite Horizon -- Put Option as Joint Distribution Function in Strike and Maturity -- Existence and Properties of Pseudo-Inverses for Bessel and Related Processes -- Existence of Pseudo-Inverses for Diffusions. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Finance. |
|
|---|
| Topical term or geographic name as entry element |
Distribution (Probability theory). |
|
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Probability Theory and Stochastic Processes. |
|
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Roynette, Bernard. |
| Relator term |
author. |
|
|---|
| Personal name |
Yor, Marc. |
| Relator term |
author. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9783642103940 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-642-10395-7 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
