A note on the α-quantile option

DOI10.1080/13504860210122375zbMath1013.91048OpenAlexW2036395486MaRDI QIDQ4551190

Laura Ballotta, Andreas E. Kyprianou

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5809/1/amfps.pdf

zbMATH Keywords

\(\alpha\)-quantile of Brownian motions with driftDassios-Port-Wendel identityfixed strike lookback option

Mathematics Subject Classification ID

Related Items (1)

Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities

Cites Work

• Unnamed Item
• Martingales and stochastic integrals in the theory of continuous trading
• Some formulae for a new type of path-dependent option
• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
• On a generalization of the arc-sine law
• Sample quantiles of stochastic processes with stationary and independent ents
• An elementary probability approach to fluctuation theory
• On a formula of Takács for Brownian motion with drift
• The distribution of Brownian quantiles
• Order Statistics of Partial Sums

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