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arXiv · 0807.0788

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

Amel Bentata·Marc Yor
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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.

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Amel Bentata, Marc Yor. 2008-07-04. From Black-Scholes and Dupire formulae to last passage times of local martingales. Part B : The finite time horizon. https://arxiv.org/abs/0807.0788

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