IDEAS home Printed from
   My bibliography  Save this article

A Note on Look-Back Options Based on Order Statistics


  • Miura, Ryozo


No abstract is available for this item.

Suggested Citation

  • 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

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    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.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    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,
    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,

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hit:hitjcm:v:27:y:1992:i:1:p:15-28. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Digital Resources Section, Hitotsubashi University Library). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.