An alternative expression for the Black-Scholes formula in terms of Brownian last passage times
by Professor Marc Yor
Abstract: Professor Yor will give new results about the integral of the exponential of a Levy process. These
functionals occur in a variety of models, in particular in option pricing, where the Levy process
represents log-prices. The integral of geometric Brownian motion has been used by many to price "Asian" options,
which have a payoff that is the average of the underlying's price over a certain period.
For More Information: Daniel Dufresne firstname.lastname@example.org