From Black-Scholes and Dupire formulae to last passage times of local martingales. Part B : The finite time horizon
published by Amel Bentata
in 2008
and research's language is
English
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Abstract in English
These notes are the second half of the contents of the course given by the second author at the Bachelier Seminar (8-15-22 February 2008) at IHP. They also correspond to topics studied by the first author for her Ph.D.thesis.