Some formulae for a new type of path-dependent option

DOI10.1214/aoap/1177004769zbMath0834.90026OpenAlexW1975678140MaRDI QIDQ1901079

Jirô Akahori

Publication date: 1 April 1996

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177004769

zbMATH Keywords

order statistics\(\alpha\)-percentile option\(\alpha\)-percentile of the stock price

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

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