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

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

2008-07-04

arxiv.org/abs/0807.0788v1

Mathematics

Probability

Scientific paper

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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