Copied Option Prices as Probabilities
Option Prices as Probabilities
Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B ,t? 0; F ,t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometric Brownian motion, is a model t to describe the evolution of prices of a risky asset. Let, for every K? 0: + ? (t) :=E (K?E ) (0.1) K t and + C (t) :=E (E?K) (0.2) K t denote respectively the price of a European put, resp. of a European call, associated with this martingale. Let N be the cumulative distribution function of a reduced Gaussian variable: x 2 y 1 ? 2 ? N (x) := e dy. (0.3) 2? ?? The celebrated Black-Scholes formula gives an explicit expression of? (t) and K C (t) in terms ofN : K ? ? log(K) t log(K) t ? (t)= KN ? + ?N ? ? (0.4) K t 2 t 2 and ? ?.
Price Comparison
| Seller | Contact Seller | List Price | On Sale | Shipping | Best Promo | Final Price | Volume Discount | Financing | Availability | Seller's Page |
|---|---|---|---|---|---|---|---|---|---|---|
|
BEST PRICE 1 Product Purchase
|
|
$39.99 | $39.99 |
|
$39.99 | See Site | In stock | Visit Store |
Reviews
Questions & Answers
Islam, Custom and Human Rights
$79.99
Sustainable Global Value Chains
$249.99
Workspace Strategies
$79.99
Issues in Accident and Emergency Nursing
$54.99
Women in Nanotechnology
$54.99
Effectiveness of Information Use for Strategic Decision Making
$39.99
The Italian Army in Slovenia
$54.99
Analysis Procedure for Earthquake Resistant Structures
$199.99
Semantic Models for Multimedia Database Searching and Browsing
$129.00
Fantasy and Social Movements
$39.99
Fatigue Crack Growth Failure and Lifing Analyses for Metallic Aircraft Structures and Components
$54.99
A Living Systems Theory of Vocational Behavior and Development
$49.99
The Palgrave Handbook of the History of Surgery
$239.00
Brot und Backwaren Backpulver Sauerteig
$54.99
Uncovering CP Violation
$129.00
Rechnernetze
$49.99
Remote Sensing for Environmental Sciences
$84.99
Z Transform Theory and Applications
$54.99
High Performance Computing
$54.99
Demokratisierungsbemhungen und Transformation in Aserbaidschan
$69.99
Medien- und Internetmanagement
$79.99
Bildung ber die Lebenszeit
$54.99
Entwicklung eines potentialunabhngigen Proportionalkompensators nach dem Prinzip des magnetischen K
$79.99
Correlated Functional Oxides
$84.99
Stimulants
$84.99
Design Characteristics of Virtual Learning Environments
$54.99
Automated Deduction in Geometry
$39.99
Seeleute und Gentlemen
$34.99
Research and Application of Cable-Driven and Rigid Parallel Robots
$119.00
Illustrated Glossary for Solar and Solar-Terrestrial Physics
$109.99
Critical Approaches to the Fiction of Thomas Hardy
$54.99
Soft Computing and Signal Processing
$329.99
Mndliche Prfung Bilanzbuchhalter (IHK)
$29.99
Purpose and Policy in the Global Community
$54.99
International Development Assistance
$99.99
Modern Judaism
$109.99
Designing TSVs for 3D Integrated Circuits
$54.99
Konstellationen des Antiziganismus
$69.99
The Resilience of Cultural Landscapes
$119.99
Die Vertretung der Wirthschaftlichen Interessen in den Staaten Europas, die Reorganisation der Hande
$59.99
