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A note on the α-quantile option

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Author Info
Laura Ballotta
Andreas E. Kyprianou

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Abstract

Some properties of a class of path-dependent options based on the α-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.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Mathematical Finance.

Volume (Year): 8 (2001)
Issue (Month): 3 (September)
Pages: 137-144
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Handle: RePEc:taf:apmtfi:v:8:y:2001:i:3:p:137-144

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Related research
Keywords: Alpha-QUANTILE Of Brownian Motions With Drift Dassios-PORT-WENDEL Identity Fixed Strike Lookback Option

References listed on IDEAS
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  1. Conze, Antoine & Viswanathan, 1991. " Path Dependent Options: The Case of Lookback Options," Journal of Finance, American Finance Association, vol. 46(5), pages 1893-907, December. [Downloadable!] (restricted)
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This page was last updated on 2008-10-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.