A note on the alpha-quantile option
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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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.
|Creators||Ballotta, L.and Kyprianou, A. E.|
|Departments||Faculty of Science > Mathematical Sciences|
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