Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

The Black-Scholes type formula associated with a martingale is an increasing function of time, and can be written as the distribution function of a last passage time. Explicit examples of computations of these laws are given. We note that if the formula is associated with a strict local martingale, then the call option function is no longer increasing in time. As an example, we examine the case of Bessel strict local martingale of dimension 3 starting from 1. (joint with M. Yor)

Speaker: Ju-Yi Yen, Vanderbilt University

Slides: (TBA)