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Finance and Stochastics

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01-07-2013

A reading guide for last passage times with financial applications in view

Authors: Ashkan Nikeghbali, Eckhard Platen

Published in: Finance and Stochastics | Issue 3/2013

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Abstract

In this survey on last passage times, we propose a new viewpoint which provides a unified approach to many different results which appear in the mathematical finance literature and in the theory of stochastic processes. In particular, we are able to improve the assumptions under which some well-known results are usually stated. Moreover we give some new and detailed calculations for the computation of the distribution of some large classes of last passage times. We have kept in this survey only the aspects of the theory which we expect potentially to be relevant for financial applications.

previous article Dynamic no-good-deal pricing measures and extension theorems for linear operators on L ∞

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Title: A reading guide for last passage times with financial applications in view
Authors: Ashkan Nikeghbali
Eckhard Platen
Publication date: 01-07-2013
Publisher: Springer-Verlag
Published in: Finance and Stochastics / Issue 3/2013
Print ISSN: 0949-2984
Electronic ISSN: 1432-1122
DOI: https://doi.org/10.1007/s00780-013-0207-6

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