A note on the alpha-quantile option

Ballotta, L. & Kyprianou, A.E. (2001). A note on the alpha-quantile option. Applied Mathematical Finance, 8(3), pp. 137-144. doi: 10.1080/13504860210122375

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In this communication, we discuss some properties of a class of path dependent options based on the α-quantiles of Brownian motion. In particular we show that such options are well behaved in relation to standard options and comparatively cheaper than an equivalent class of lookback options.

Item Type: Article
Additional Information: This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Mathematical Finance on 14 Oct 2010, available online: http://wwww.tandfonline.com/10.1080/13504860210122375
Uncontrolled Keywords: alpha-quantile of Brownian motions with drift, Dassios-Port-Wendel identity, fixed strike lookback option
Subjects: Q Science > QA Mathematics
Divisions: Cass Business School > Faculty of Finance
URI: http://openaccess.city.ac.uk/id/eprint/5809

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