A note on the joint distribution of α, β-percentiles and its application to the option pricing

Asia-Pacific Financial Markets

Volumn 7, Issue 4, 2000, Pages 339-344

  Fujita, Takahiko ^a  

^a HITOTSUBASHI UNIVERSITY   (Japan)

Author keywords

Black Sholes model; Feynman Kac formula; Look back options; Option pricing; percentile options

Indexed keywords

EID: 33847022428     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1010046925696     Document Type: Article

References (7)

1. Akahori, J. (1995) Some formulae for a new type of path-dependent option, Ann. Appl. Probab. 5, 383-388.
2. Dassios, A. (1995) The distribution of the quantile of a Brownian motion with drift and the pricing related path-dependent options, Ann. Appl. Probab. 5, 389-398.
3. Embrechet, P., Rogers, L. C. G., and Yor, M. (1995) A proof of Dassios's representation of the α-quantile of Brownian motion with drift, Ann. Appl. Probab. 5, 757-767.
4. Fujita, T (1997) On the price of the α-percentile options, Hitotsubashi University Faculty of Commerce Working Paper Series, No. 24.
5. Miura, R. (1992) A note on look-back option based on order statistics, Hitotsubashi J. Commerce Management 27, 15-28.
6. Miura, R. (1992) Junjotokeitryo ni motozuku look-back option, Ikkyo Ronsou (THE HITOTSUBASHI REVIEW) 107 (5), 650-654 (in Japanese).
7. Yor, M. (1995) The distribution of Brownian quantiles, J. Appl. Prob. 2, 405-416.