Call option prices based on bessel processes

We recall this formula. Option Prices as Probabilities: A New Look at Generalized Black-Scholes Formulae. Christophe Profeta , Bernard Roynette , Marc Yor.

Call Option Prices Based on Bessel Processes | SpringerLink

Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. 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? Let N be the cumulative distribution function of a reduced Gaussian variable: The celebrated Black-Scholes formula gives an explicit expression of?

Generalized BlackScholes Formulae for Martingales in Terms of Last Passage Times. An Interesting Family of BlackScholes Perpetuities. Study of Last Passage Times up to a Finite Horizon.

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Put Option as Joint Distribution Function in Strike and Maturity. Existence and Properties of PseudoInverses for Bessel and Related Processes. Existence of PseudoInverses for Diffusions.

Bessel Functions and Bessel Processes. Reading the BlackScholes Formula in Terms of First and Last Passage Times.