From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon

Bentata, Amel; Yor, Marc

From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon

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These notes are the first half of the contents of the course given by the second author at the Bachelier Seminar (February 8-15-22 2008) at IHP. They also correspond to topics studied by the first author for her Ph.D.thesis.

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Computational Finance, Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/212716

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0806.0239
http://arxiv.org/abs/0806.0239

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From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon

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