Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
type: Item
instance of: scholarly article
title: Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
zbMATH Open document ID: 1163.91414
author: Dilip B. Madan
author: Bernard Roynette
author: Marc Yor
published in: Asia-Pacific Financial Markets
publication date: 2009-05-29T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 5559884
zbMATH Keywords: option pricing
zbMATH Keywords: local times
zbMATH Keywords: first passage times
zbMATH Keywords: last passage times
MaRDI profile type: Publication
full work available at URL: s10690-008-9068-y
OpenAlex ID: W2122048154
cites work: On the pricing of options written on the last exit time
cites work: PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE
cites work: Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
cites work: Q4938946
cites work: Exponential models, brownian motion, and independence
cites work: Q4349251
DOI: 10.1007/S10690-008-9068-Y
description: scientific article; zbMATH DE number 5559884