A note on the alpha-quantile option
Reference:
Ballotta, L. and Kyprianou, A. E., 2001. A note on the alpha-quantile option. Applied Mathematical Finance, 8 (3), pp. 137-144.
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Official URL:
http://dx.doi.org/10.1080/13504860210122375
Abstract
Some properties of a class of path-dependent options based on the agr-quantiles of Brownian motion are discussed. In particular, it is shown that such options are well behaved in relation to standard options and comparatively cheaper than an equivalent class of lookback options.
Details
| Item Type | Articles |
| Creators | Ballotta, L.and Kyprianou, A. E. |
| DOI | 10.1080/13504860210122375 |
| Departments | Faculty of Science > Mathematical Sciences |
| Refereed | Yes |
| Status | Published |
| ID Code | 7493 |
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