TY - BOOK ID - 8583067 TI - Option Prices as Probabilities : A New Look at Generalized Black-Scholes Formulae AU - Profeta, Christophe. AU - Roynette, Bernard. AU - Yor, Marc. PY - 2010 SN - 3642103944 9786612835346 3642103952 1282835343 PB - Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, DB - UniCat KW - Distribution (Probability theory). KW - Finance. KW - Options (Finance) -- Prices -- Mathematics. KW - Options (Finance) KW - Distribution (Probability theory) KW - Mathematics KW - Finance KW - Investment & Speculation KW - Mathematical Statistics KW - Physical Sciences & Mathematics KW - Business & Economics KW - Prices KW - Mathematics. KW - Call options KW - Calls (Finance) KW - Listed options KW - Options exchange KW - Options market KW - Options trading KW - Put and call transactions KW - Put options KW - Puts (Finance) KW - Distribution functions KW - Frequency distribution KW - Economics, Mathematical. KW - Probabilities. KW - Probability Theory and Stochastic Processes. KW - Quantitative Finance. KW - Derivative securities KW - Investments KW - Characteristic functions KW - Probabilities KW - Distribution (Probability theory. KW - Funding KW - Funds KW - Economics KW - Currency question KW - Economics, Mathematical . KW - Mathematical economics KW - Econometrics KW - Probability KW - Statistical inference KW - Combinations KW - Chance KW - Least squares KW - Mathematical statistics KW - Risk KW - Methodology KW - Social sciences KW - Probability Theory. KW - Mathematics in Business, Economics and Finance. UR - https://www.unicat.be/uniCat?func=search&query=sysid:8583067 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 -