A note on the α-quantile option

Laura Ballotta and Andreas Kyprianou

Applied Mathematical Finance, 2001, vol. 8, issue 3, 137-144

Abstract: Some properties of a class of path-dependent options based on the α-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.

Keywords: Alpha-QUANTILE Of Brownian Motions With Drift; Dassios-PORT-WENDEL Identity; Fixed Strike Lookback Option (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1080/13504860210122375

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