Sample quantiles of heavy tailed stochastic processes

Paul Embrechts and Gennady Samorodnitsky

Stochastic Processes and their Applications, 1995, vol. 59, issue 2, 217-233

Abstract: Distributions of sample quantiles of measurable stochastic processes are important for the purpose of rational pricing of "look-back" options. In this paper we compute the exact tail behavior of the sample quantile distribution for a large class of infinitely divisible stochastic processes with heavy tails.

Keywords: Sample; quantiles; Look-back; options; Regular; variation; Infinitely; divisible; processes; Stable; processes; Lévy; measure; Tail; behavior; of; the; distribution (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (8)

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