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.

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the...

<section xml:id="fut21647-sec-0001"> We present a joint Monte Carlo‐Fourier transform sampling scheme for pricing derivative products under a Carr–Geman–Madan–Yor (CGMY) model (Carr et al. [Journal of Business, 75, 305–332, 2002]) exhibiting jumps of infinite activity and finite or infinite variation. The approach relies...</section>