Chapter: Put Option as Joint Distribution Function in Strike and Maturity

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Home > Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae > Put Option as Joint Distribution Function in Strike and Maturity

Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae |

Christophe Profeta; Bernard Roynette; Marc Yor

Springer Berlin Heidelberg

Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae

Put Option as Joint Distribution Function in Strike and Maturity

Chapter Info

Authors

Christophe Profeta; Bernard Roynette; Marc Yor

ARI Id

1664886987915_3934747

Access

Not Available Free

Pages

143-159

DOI

10.1007/978-3-642-10395-7_6

Chapter URL

https://rd.springer.com/chapter/10.1007/978-3-642-10395-7_6

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Chapters/Headings	Author(s)	Pages	Info
Front Matter		I-XXI
Reading the Black-Scholes Formula in Terms of First and Last Passage Times	Christophe Profeta; Bernard Roynette; Marc Yor	1-20
Generalized Black-Scholes Formulae for Martingales, in Terms of Last Passage Times	Christophe Profeta; Bernard Roynette; Marc Yor	21-63
Representation of some particular Azéma supermartingales	Christophe Profeta; Bernard Roynette; Marc Yor	65-87
An Interesting Family of Black-Scholes Perpetuities	Christophe Profeta; Bernard Roynette; Marc Yor	89-113
Study of Last Passage Times up to a Finite Horizon	Christophe Profeta; Bernard Roynette; Marc Yor	115-141
Put Option as Joint Distribution Function in Strike and Maturity	Christophe Profeta; Bernard Roynette; Marc Yor	143-159
Existence and Properties of Pseudo-Inverses for Bessel and Related Processes	Christophe Profeta; Bernard Roynette; Marc Yor	161-201
Existence of Pseudo-Inverses for Diffusions	Christophe Profeta; Bernard Roynette; Marc Yor	203-237
Back Matter		239-270
Chapters/Headings	Author(s)	Pages	Info

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