From Black-Scholes and Dupire formulae to last passage times of local martingales Part B : The finite time horizon
نویسندگان
چکیده
1. 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. 2. Unlike Part A of the course ([3]), this document still raises a number of questions, pertaining to various extensions of the classical Black-Scholes formula. 3. Comments are welcome and may be addressed to :
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