Different Representations of Option Prices
Marc Yor, Université de Paris VI, Francia.
Viernes 13 de noviembre a las 11:30 en la sala 520 del módulo 17 de Ciencias, UAM
Resumen: First, we shall show that (European) Black-Scholes prices may be represented in terms of last passage times. Second, we shall show that Asian option prices are also European option prices, hence may also be represented in terms of last passage times.