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Quantiles of Lévy processes and applications in finance

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  • Dassios, Angelos

Abstract

This paper provides a survey of results on the quantiles of a Brownian motion with drift as well as a general Lévy process. The motivation is to calculate the price of related financial options. At the end of the paper some new results on variability orderings between various quantities associated with path dependent and European options are presented. This survey is not exhaustive, but intends to provide a flavour of research carried out in the area.

Suggested Citation

  • Dassios, Angelos, 2006. "Quantiles of Lévy processes and applications in finance," LSE Research Online Documents on Economics 32103, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:32103
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    File URL: http://eprints.lse.ac.uk/32103/
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    More about this item

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • F3 - International Economics - - International Finance
    • G3 - Financial Economics - - Corporate Finance and Governance

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