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

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

2008-06-02

arxiv.org/abs/0806.0239v1

Economy

Quantitative Finance

Computational Finance

Scientific paper

These notes are the first half of the contents of the course given by the
second author at the Bachelier Seminar (February 8-15-22 2008) at IHP. They
also correspond to topics studied by the first author for her Ph.D.thesis.

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