Option prices as probabilities. A new look at generalized Black-Scholes formulae

M. Yor 1 C. Profeta 2 Bernard Roynette 3, 4
4 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
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https://hal.archives-ouvertes.fr/hal-00462386
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Submitted on : Tuesday, March 9, 2010 - 2:47:48 PM
Last modification on : Sunday, March 31, 2019 - 1:30:59 AM

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  • HAL Id : hal-00462386, version 1

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M. Yor, C. Profeta, Bernard Roynette. Option prices as probabilities. A new look at generalized Black-Scholes formulae. Springer, xxi-270 p., 2010, Springer Finance. ⟨hal-00462386⟩

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