Option prices as probabilities
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References listed on IDEAS
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Peter Carr & Helyette Geman & Dilip Madan & Marc Yor, 2004. "From local volatility to local Levy models," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 581-588.
- Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Yuri Imamura, 2011. "A remark on static hedging of options written on the last exit time," Review of Derivatives Research, Springer, vol. 14(3), pages 333-347, October.
- Ashkan Nikeghbali & Eckhard Platen, 2008. "On Honest Times in Financial Modeling," Research Paper Series 229, Quantitative Finance Research Centre, University of Technology, Sydney.
- Libo Li, 2018. "From Az\'ema supermartingales of finite honest times to optional semimartingales of class-($\Sigma$)," Papers 1801.03873, arXiv.org.
- Amel Bentata & Marc Yor, 2008. "From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon," Papers 0806.0239, arXiv.org.
- D. Madan & B. Roynette & M. Yor, 2008. "Unifying Black–Scholes Type Formulae Which Involve Brownian Last Passage Times up to a Finite Horizon," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(2), pages 97-115, June.
- Ashkan Nikeghbali & Eckhard Platen, 2013. "A reading guide for last passage times with financial applications in view," Finance and Stochastics, Springer, vol. 17(3), pages 615-640, July.
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