2 papers
math.PR2008
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part B : The finite time horizon
Amel Bentata, Marc Yor
These notes are the second half of the contents of the course given by the second author at the Bachelier Seminar (8-15-22 February 2008) at IHP. They also correspond to topics stu…
math.PR2008
A note about conditional Ornstein-Uhlenbeck processes
Amel Bentata
In this short note, the identity in law, which was obtained by P. Salminen, between on one hand, the Ornstein-Uhlenbeck process with parameter gamma, killed when it reaches 0, and…