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A Note on Look-Back Options Based on Order Statistics

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  • Miura, Ryozo

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  • Miura, Ryozo, 1992. "A Note on Look-Back Options Based on Order Statistics," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 27(1), pages 15-28, November.
  • Handle: RePEc:hit:hitjcm:v:27:y:1992:i:1:p:15-28
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    File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/5748/1/HJcom0270100150.pdf
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    References listed on IDEAS

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    1. Kemna, A. G. Z. & Vorst, A. C. F., 1990. "A pricing method for options based on average asset values," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 113-129, March.
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    Cited by:

    1. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
    2. Dell'Era Mario, M.D., 2008. "Pricing of Double Barrier Options by Spectral Theory," MPRA Paper 17502, University Library of Munich, Germany.
    3. Embrechts, Paul & Samorodnitsky, Gennady, 1995. "Sample quantiles of heavy tailed stochastic processes," Stochastic Processes and their Applications, Elsevier, vol. 59(2), pages 217-233, October.
    4. Djilali Ait Aoudia & Jean-Franc{c}ois Renaud, 2016. "Pricing occupation-time options in a mixed-exponential jump-diffusion model," Papers 1603.09329, arXiv.org.
    5. Ramprasath, L. & Singh, Kesar, 2007. "Statistical options: Crash resistant financial contracts based on robust estimation," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 196-203, January.
    6. Dell'Era Mario, M.D., 2008. "Pricing of the European Options by Spectral Theory," MPRA Paper 17429, University Library of Munich, Germany.
    7. Braverman, Michael & Samorodnitsky, Gennady, 1998. "Distribution tails of sample quantiles and subexponentiality," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 45-60, August.
    8. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
    9. Neofytos Rodosthenous & Hongzhong Zhang, 2017. "Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\'evy Models," Papers 1706.03724, arXiv.org.

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