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
Abstract
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.
| Publication 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 |
| Publisher Keywords: | alpha-quantile of Brownian motions with drift, Dassios-Port-Wendel identity, fixed strike lookback option |
| Subjects: | Q Science > QA Mathematics |
| Departments: | Bayes Business School > Faculty of Finance |
| SWORD Depositor: |
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Official URL: https://doi.org/10.1080/13504860210122375
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