Abstract
We first recall the classical Black-Scholes formula (Theorem 1.1), and then give two new formulations of it:
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the first one in terms of first and last passage times of a Brownian motion with drift (Theorem 1.2 and Theorem 1.3),
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the second one as an expectation with respect to the law of \(B_{1}^{2}\) (Theorem 1.4).
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© 2010 Springer-Verlag Berlin Heidelberg
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Profeta, C., Roynette, B., Yor, M. (2010). Reading the Black-Scholes Formula in Terms of First and Last Passage Times. In: Option Prices as Probabilities. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-10395-7_1
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DOI: https://doi.org/10.1007/978-3-642-10395-7_1
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-10394-0
Online ISBN: 978-3-642-10395-7
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