Some formulae for a new type of path-dependent option

DOI10.1214/AOAP/1177004769zbMATH Open0834.90026OpenAlexW1975678140MaRDI QIDQ1901079FDOQ1901079

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

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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)

Cited In (30)

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

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