Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
نویسندگان
چکیده
The authors recently discovered some interesting relations between the Black-Scholes formula and last passage times of the Brownian exponential martingales, which invites one to seek analogous results for last passage times up to a nite horizon. This is achieved in the present paper, where Yuris formula, as originally presented in Akahori, Imamura and Yano (2008), is also derived. We are most grateful to J. Akahori for his stimulating suggestion, and more generally to the 3 authors Akahori, Imamura and Yano for providing us with an early version of Yuris formula.
منابع مشابه
From Black-Scholes and Dupire formulae to last passage times of local martingales Part B : The finite time horizon
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