A note on the α-quantile option

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.

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Year of publication:	2001
Authors:	Ballotta, Laura ; Kyprianou, Andreas
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 8.2001, 3, p. 137-144
Publisher:	Taylor & Francis Journals
Subject:	Alpha-QUANTILE Of Brownian Motions With Drift \| Dassios-PORT-WENDEL Identity \| Fixed Strike Lookback Option

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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