Profeta, Christophe (Autor)
Roynette, Bernard (Autor)
Yor, Marc (Autor)
Option Prices as Probabilities
A New Look at Generalized Black-Scholes Formulae
Beschreibung
The 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.
Produktdetails
| ISBN/GTIN | 978-3-642-10395-7 |
|---|---|
| Seitenzahl | 270 S. |
| Kopierschutz | mit Wasserzeichen |
| Dateigröße | 2960 Kbytes |