School Seminars and Colloquia

An alternative expression for the Black-Scholes formula in terms of Brownian last passage times

School Seminar

by Professor Marc Yor

Institution: Universite Paris VI (France)
Date: Tue 4th December 2007
Time: 1:30 PM
Location: Theatre 1, Level 1, 111 Barry Street, Carlton Uni of Melbourne

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