On the Pricing of Options Written on the Last Exit Time-Reference-Cited by-同舟云学术

On the Pricing of Options Written on the Last Exit Time

Published:2008-06-19 Issue:4 Volume:11 Page:661-668
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Akahori Jirô,Imamura Yuri,Yano Yuko

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11009-008-9086-2.pdf

Reference5 articles.

1. Bentata A, Yor M (2008) Ten notes on three lectures: from Black-Scholes and Dupire formulae to last passage times of local martingales. Notes from a course at the Bachelier Seminar

2. Madan D, Roynette B, Yor M (2008a) Option prices as probabilities. Financ Res Lett 5:79–87

3. Madan D, Roynette B, Yor M (2008b) An alternative expression for the Black-Scholes formula in terms of brownian first and last passage times. No 8, IEC Nancy

4. Madan D, Roynette B, Yor M (2008c) From Black-Scholes formula, to local times and last passage times for certain submartingales. No 14, IEC Nancy

5. Madan D, Roynette B, Yor M (2008d) Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon. Asia-Pac Financ Mark (in press)

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1. A remark on static hedging of options written on the last exit time;Review of Derivatives Research;2010-11-17

2. Static hedging for knock-in/out options written on the price ratios : A simple case;Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications;2010-05-05

3. Option Prices as Probabilities;SPRINGER FINANC;2010