A note on the alpha-quantile option

L Ballotta; A E Kyprianou

doi:10.1080/13504860210122375

A note on the alpha-quantile option

L Ballotta, A E Kyprianou

Department of Mathematical Sciences

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Abstract

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.

Original language	English
Pages (from-to)	137-144
Number of pages	8
Journal	Applied Mathematical Finance
Volume	8
Issue number	3
DOIs	https://doi.org/10.1080/13504860210122375
Publication status	Published - 2001

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A note on the alpha-quantile option

Abstract

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