TY - BOOK ID - 107974775 TI - Option Prices as Probabilities AU - Profeta, Cristophe AU - Roynette, Bernard AU - Yor, Marc AU - SpringerLink (Online service) PY - 2010 SN - 9783642103957 9783642103964 9783642103940 PB - Berlin, Heidelberg Springer Berlin Heidelberg DB - UniCat KW - Finance KW - Economics KW - Operational research. Game theory KW - Probability theory KW - Mathematics KW - kennis KW - waarschijnlijkheidstheorie KW - stochastische analyse KW - financiën KW - wiskunde KW - kansrekening UR - https://www.unicat.be/uniCat?func=search&query=sysid:107974775 AB - 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. ER -