Pré-Publication, Document De Travail Année : 2008

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

Résumé

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.

Fichier principal
Vignette du fichier
partb.pdf (383.14 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Licence
Loading...

Dates et versions

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

Licence

Identifiants

Citer

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⟩
252 Consultations
262 Téléchargements

Altmetric

Partager

  • More