Two stock options at the races: Black-Scholes forecasts

Quantitative Finance

Volumn 12, Issue 9, 2012, Pages 1325-1333

  Oshanin, G ^a,b   Schehr, G ^c  

^a SORBONNE UNIVERSITÉ   (France)

^b INDEPENDENT UNIVERSITY OF MOSCOW   (Russian Federation)

^c UNIVERSITÉ PARIS SACLAY   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84865378320     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2011.591423     Document Type: Article

References (22)

1. Abramowitz, M and Stegun, I, editors. 1972. Handbook of Mathematical Functions, Washington, DC: National Bureau of Standards.
2. Black, F and Scholes, M. 1973. The pricing of options and corporate liabilities. J. Polit. Econ., 81: 637-654.
3. 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.
4. Comtet, A, Monthus, C and Yor, M. 1998. Exponential functionals of Brownian motion and disordered systems. J. Appl. Probab., 35: 255-271.
5. Derrida, B and Pomeau, Y. 1982. Classical diffusion on a random chain. Phys. Rev. Lett., 48: 627-630.
6. Dufresne, D. 2004. Time log-normal approximation in financial and other computations. Adv. Appl. Probab., 36: 747-773.
7. Geman, H and Yor, M. 1993. Bessel processes, Asian options, and perpetuities. Math. Financ., 3: 349-375.
8. Johnson, NL, Kotz, S and Balakrishnan, N. 1994. Continuous Univariate Distributions, New York: Wiley.
9. Kesten, H. 1973. Random difference equations and renewal theory for products of random matrices. Acta Math., 131: 207-248.
10. Kesten, H, Kozlov, MV and Spitzer, F. 1975. Limit law for random walk in a random environment. Compositio Mathematica, 30: 145-168.
11. Laloux, L, Cizeau, P, Bouchaud, J-P and Potters, M. 1999. Noise dressing of financial correlation matrices. Phys. Rev. Lett., 83: 1467-1471.
12. 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
13. Matsumoto, H and Yor, M. 2005. Exponential functionals of Brownian motion, II: some related diffusion processes. Probab. Surv., 2: 348-384.
14. Merton, RC. 1973. Theory of rational option pricing. Bell J. Econ., 4: 141-183.
15. Monthus, C and Comtet, A. 1994. On the flux distribution in a one-dimensional disordered system. J. Phys. I. France, 4: 635-653.
16. 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.
17. Oshanin, G, Mogutov, A and Moreau, M. 1993a. Steady flux in a continuous-space Sinai chain. J. Statist. Phys., 73: 379-388.
18. Oshanin, G and Redner, S. 2009. Helix or coil? Fate of a melting heteropolymer. Europhys. Lett., 85: 10008
19. Redner, S. 2001. A Guide to First-passage Processes, New York: Cambridge University Press.
20. 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
21. Sinai, YaG. 1982. The limiting behavior of a one-dimensional random walk in a random medium. Theor. Probab. Appl., 27: 256-268.
22. Yor, M. 1992. On some exponential functionals of Brownian motion. Adv. Appl. Probab., 24: 509-531.