SOME FORMULAE FOR A NEW TYPE OF PATH-DEPENDENT OPTION
成果类型：
Article
署名作者：
Akahori, Jiro
署名单位：
University of Tokyo
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004769
发表日期：
1995
页码：
383-388
关键词：
摘要：
In this paper we present an explicit form of the distribution function of the occupation time of a Brownian motion with a constant drift (if there is no drift, this is the well-known arc-sine law). We also define the alpha-percentile of the stock price and give an explicit form of the distribution function of this random variable. Using this explicit distribution, we calculate the price of a new type of path-dependent option, called the alpha-percentile option. This option was first introduced by Miura and is based on order statistics.