A note on the joint distribution of \(\alpha, \beta \)-percentiles and its application to the option pricing

DOI10.1023/A:1010046925696zbMath1153.91758MaRDI QIDQ1000526

Takahiko Fujita

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G20: Derivative securities (option pricing, hedging, etc.)