Unifying Black–Scholes Type Formulae Which Involve Brownian Last Passage Times up to a Finite Horizon
Year of publication: |
2008
|
---|---|
Authors: | Madan, D. ; Roynette, B. ; Yor, M. |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 15.2008, 2, p. 97-115
|
Publisher: |
Springer |
Subject: | Option pricing | Local times | First passage times | Last passage times |
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