PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE

DOI10.1142/S0219024909005580zbMath1183.91179OpenAlexW2042114020MaRDI QIDQ3400129

Dilip B. Madan, Marc Yor, Bernard Roynette

Publication date: 5 February 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005580

zbMATH Keywords

pseudo-inverselocal time-space calculusfirst and last passage timesBlack-Scholes set up

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Fractional intertwinings between two Markov semigroups ⋮ Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon

Cites Work

• Integration with respect to local time
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