570
Views
17
CrossRef citations to date
0
Altmetric
Features

Two stock options at the races: Black–Scholes forecasts

&
Pages 1325-1333 | Received 15 Apr 2010, Accepted 23 May 2011, Published online: 21 Sep 2011

References

  • Abramowitz , M and Stegun , I, editors . 1972 . Handbook of Mathematical Functions , Washington , DC : National Bureau of Standards .
  • Black , F and Scholes , M . 1973 . The pricing of options and corporate liabilities . J. Polit. Econ. , 81 : 637 – 654 .
  • Burlatsky , SF , Oshanin , G , Mogutov , A and Moreau , M . 1992 . Non-Fickian steady flux in a one-dimensional Sinai-type disordered system . Phys. Rev. A , 45 : 6955 – 6959 .
  • Comtet , A , Monthus , C and Yor , M . 1998 . Exponential functionals of Brownian motion and disordered systems . J. Appl. Probab. , 35 : 255 – 271 .
  • Derrida , B and Pomeau , Y . 1982 . Classical diffusion on a random chain . Phys. Rev. Lett. , 48 : 627 – 630 .
  • Dufresne , D . 2004 . Time log-normal approximation in financial and other computations . Adv. Appl. Probab. , 36 : 747 – 773 .
  • Geman , H and Yor , M . 1993 . Bessel processes, Asian options, and perpetuities . Math. Financ. , 3 : 349 – 375 .
  • Johnson , NL , Kotz , S and Balakrishnan , N . 1994 . Continuous Univariate Distributions , New York : Wiley .
  • Kesten , H . 1973 . Random difference equations and renewal theory for products of random matrices . Acta Math. , 131 : 207 – 248 .
  • Kesten , H , Kozlov , MV and Spitzer , F . 1975 . Limit law for random walk in a random environment . Compositio Mathematica , 30 : 145 – 168 .
  • Laloux , L , Cizeau , P , Bouchaud , J-P and Potters , M . 1999 . Noise dressing of financial correlation matrices . Phys. Rev. Lett. , 83 : 1467 – 1471 .
  • Majumdar , SN and Comtet , A . 2002 . The local and the occupation time of a particle diffusing in a random medium . Phys. Rev. Lett. , 89 : 060601
  • Matsumoto , H and Yor , M . 2005 . Exponential functionals of Brownian motion, II: some related diffusion processes . Probab. Surv. , 2 : 348 – 384 .
  • Merton , RC . 1973 . Theory of rational option pricing . Bell J. Econ. , 4 : 141 – 183 .
  • Monthus , C and Comtet , A . 1994 . On the flux distribution in a one-dimensional disordered system . J. Phys. I. France , 4 : 635 – 653 .
  • Oshanin , G , Burlatsky , SF , Moreau , M and Gaveau , B . 1993b . Behavior of transport characteristics in several one-dimensional disordered systems . Chem. Phys. , 177 : 803 – 819 .
  • Oshanin , G , Mogutov , A and Moreau , M . 1993a . Steady flux in a continuous-space Sinai chain . J. Statist. Phys. , 73 : 379 – 388 .
  • Oshanin , G and Redner , S . 2009 . Helix or coil? Fate of a melting heteropolymer . Europhys. Lett. , 85 : 10008
  • Redner , S . 2001 . A Guide to First-passage Processes , New York : Cambridge University Press .
  • Sabhapandit , S , Majumdar , SN and Comtet , A . 2006 . Statistical properties of functionals of the paths of a particle diffusing in a one-dimensional random potential . Phys. Rev. E. , 73 : 051102
  • Sinai , YaG . 1982 . The limiting behavior of a one-dimensional random walk in a random medium . Theor. Probab. Appl. , 27 : 256 – 268 .
  • Yor , M . 1992 . On some exponential functionals of Brownian motion . Adv. Appl. Probab. , 24 : 509 – 531 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.