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Christophe Profeta Bernard Roynette Marc Yor
Option Prices
as Probabilities
A New Look
at Generalized Black-Scholes Formulae
Christophe Profeta
Université Nancy I
Inst. Élie Cartan (IECN)
Faculté des Sciences
54506 Vandoeuvre-les-Nancy CX
France
christophe.profeta@iecn.u-nancy.fr
Marc Yor
Université Paris VI
Labo. Probabilités et Modèles
Aléatoires
175 rue du Chevaleret
75013 Paris
France
Bernard Roynette
Université Nancy I
Inst. Élie Cartan (IECN)
Faculté des Sciences
54506 Vandoeuvre-les-Nancy CX
France
bernard.roynette@iecn.u-nancy.fr
ISBN 978-3-642-10394-0 e-ISBN 978-3-642-10395-7
DOI 10.1007/978-3-642-10395-7
Springer Heidelberg Dordrecht London New York
Library of Congress Control Number: 2010920154
Mathematics Subject Classification (2000): 60G44, 60J65, 60H99, 60J60
© Springer-Verlag Berlin Heidelberg 2010
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Cover design: VTEX, Vilnius
Printed on acid-free paper
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