103 citations · 285 across the 26 of their papers we have counts for
4 papers · 2 filters
On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
Kouji Yano, Yuko Yano, Marc Yor
Several aspects of the laws of first hitting times of points are investigated for one-dimensional symmetric stable Lévy processes. Itô's excursion theory plays a key role in this s…
Call option prices based on Bessel processes
Ju-Yi Yen, Marc Yor
As a complement to some recent work by Pal and Protter, "Strict local martingales, bubbles, and no early exercise", we show that the call option prices associated with the Bessel s…
Penalising symmetric stable Lévy paths
Kouji Yano, Yuko Yano, Marc Yor
Limit theorems for the normalized laws with respect to two kinds of weight functionals are studied for any symmetric stable Lévy process of index . The first kind is…
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…