Unifying Black–Scholes Type Formulae Which Involve Brownian Last Passage Times up to a Finite Horizon
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- Madan, D. & Roynette, B. & Yor, Marc, 2008. "Option prices as probabilities," Finance Research Letters, Elsevier, vol. 5(2), pages 79-87, June.
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KeywordsOption pricing; Local times; First passage times; Last passage times;
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