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A note on the α-quantile option

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Listed:
  • Laura Ballotta
  • Andreas Kyprianou

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.

Suggested Citation

  • Laura Ballotta & Andreas Kyprianou, 2001. "A note on the α-quantile option," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(3), pages 137-144.
    • Handle: RePEc:taf:apmtfi:v:8:y:2001:i:3:p:137-144
    DOI: 10.1080/13504860210122375
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    References listed on IDEAS

    as
    1. Conze, Antoine & Viswanathan, 1991. "Path Dependent Options: The Case of Lookback Options," Journal of Finance, American Finance Association, vol. 46(5), pages 1893-1907, December.
    2. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
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    Cited by:

    1. Carolyn E. Phelan & Daniele Marazzina & Guido Germano, 2021. "Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities," Papers 2106.06030, arXiv.org.
    2. C. E. Phelan & D. Marazzina & G. Germano, 2020. "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," Quantitative Finance, Taylor & Francis Journals, vol. 20(6), pages 899-918, June.

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