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

Abstract

These notes are the second half of the contents of the course given by the second author at the Bachelier Seminar (8-15-22 February 2008) at IHP. They also correspond to topics studied by the first author for her Ph.D.thesis.

Domains

Probability [math.PR]
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https://hal.science/hal-00293533

Submitted on : Friday, July 4, 2008-6:16:57 PM

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

Long-term archiving on: Friday, May 28, 2010-9:30:31 PM

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hal-00293533 , version 1 (04-07-2008)

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Amel Bentata, Marc Yor. From Black-Scholes and Dupire formulae to last passage times of local martingales. Part B : The finite time horizon. 2008. ⟨hal-00293533⟩

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