Some formulae for a new type of path-dependent option

DOI10.1214/AOAP/1177004769MaRDI QIDQ1901079zbMATHOpenAlexFDO

Authors 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

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

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• A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion
• A note on the joint distribution of \(\alpha, \beta \)-percentiles and its application to the option pricing
• On the quantiles of Brownian motion and their hitting times
• THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
• Optimal dividend strategy under Parisian ruin with affine penalty
• Perturbed Brownian motion and its application to Parisian option pricing
• Note on the weak convergence of hyperplane \(\alpha\)-quantile functionals and their continuity in the Skorokhod J1 topology
• Sojourn times of Gaussian processes with trend
• Corridor options and arc-sine law.
• Occupation time of Lévy processes with jumps rational Laplace transforms
• On occupation times in the red of Lévy risk models
• Sample quantiles of stochastic processes with stationary and independent ents
• Occupation times of hyper-exponential jump diffusion processes with application to price step options
• Expected median of a shifted Brownian motion: Theory and calculations
• Pro‐cyclicality beyond business cycle
• A threshold-based risk process with a waiting period to pay dividends
• The distribution of continuous time rank processes
• Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities
• Subordinated Brownian motion: last time the process reaches its supremum
• Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
• On the distribution of cumulative Parisian ruin
• On generalized Berman constants
• Pricing and hedging of quantile options in a flexible jump diffusion model
• A note on the α-quantile option
• Valuation of a repriceable executive stock option
• Optimal investment strategy to minimize occupation time
• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
• Arcsine laws for random walks generated from random permutations with applications to genomics
• On a generalization of the arc-sine law

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