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

Amel Bentata (1) , Marc Yor (1, 2)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 IUF - Institut universitaire de France

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.

Mots clés: Black-Scholes formula; last passage times; Azéma superma

Domaines: Probabilités [math.PR]

Amel Bentata, Marc Yor. From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon. 2008. ⟨hal-00284122⟩