From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon - Archive ouverte HAL Access content directly
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From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon

Abstract

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.

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Probability [math.PR]
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https://hal.science/hal-00284122

Submitted on : Monday, June 2, 2008-11:31:35 AM

Last modification on : Tuesday, April 16, 2024-3:07:47 AM

Long-term archiving on: Friday, May 28, 2010-8:55:13 PM

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hal-00284122 , version 1 (02-06-2008)

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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⟩

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