Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
Résumé
The authors recently discovered some interesting relations between the Black-Scholes formula and last passage times of the Brownian exponential martingales, which invites one to seek analogous results for last passage times up to a finite horizon. This is achieved in the present paper, where Yuri's formula, as originally presented in Akahori, Imamura and yano (2008), is also derived.
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)
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