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001			301016
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007			cr nn 008mamaa
008			150903s2010 gw | o |||| 0|eng d
020			_a9783642103957 _99783642103957
024	7		_a10.1007/9783642103957 _2doi
035			_avtls000354204
039		9	_a201509030521 _bVLOAD _c201405060333 _dVLOAD _y201402181012 _zstaff
040			_aMX-SnUAN _bspa _cMX-SnUAN _erda
050		4	_aQA273.A1-274.9
100	1		_aProfeta, Cristophe. _eautor _9338706
245	1	0	_aOption Prices as Probabilities : _bA New Look at Generalized Black-Scholes Formulae / _cby Cristophe Profeta, Bernard Roynette, Marc Yor.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2010.
300			_axxI, 270 páginas 3 ilustraciones _brecurso en línea.
336			_atexto _btxt _2rdacontent
337			_acomputadora _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_aarchivo de texto _bPDF _2rda
490	0		_aSpringer Finance
500			_aSpringer eBooks
505	0		_aReading the Black-Scholes Formula in Terms of First and Last Passage Times -- Generalized Black-Scholes Formulae for Martingales, in Terms of Last Passage Times -- Representation of some particular Azéma supermartingales -- An Interesting Family of Black-Scholes Perpetuities -- Study of Last Passage Times up to a Finite Horizon -- Put Option as Joint Distribution Function in Strike and Maturity -- Existence and Properties of Pseudo-Inverses for Bessel and Related Processes -- Existence of Pseudo-Inverses for Diffusions.
520			_aThe Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometric Brownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense. The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes... They are developed in eight chapters, with complements, appendices and exercises.
590			_aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700	1		_aRoynette, Bernard. _eautor _9336204
700	1		_aYor, Marc. _eautor _9323319
710	2		_aSpringerLink (Servicio en línea) _9299170
776	0	8	_iEdición impresa: _z9783642103940
856	4	0	_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-3-642-10395-7 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
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999			_c301016 _d301016