Prépublication numéro 2001-08   du laboratoire LAGA, Université Paris 13

Emilson ANDRIANJAKAHERIVOLA Francesco RUSSO  :   The quantile of a diffusion. Pricing a quantile lookback option   (format .ps compressé)

Résumé: The quantile of a general diffusion $(X_t)$ is deeply studied. When $(X_t) $ is a Brownian motion with drift we explicitly calculate the joint distribution of the triple constituted by the quantile, $( X_t) $ and its local time. We introduce a new path dependent option, baptized ''quantile lookback'' which generalizes the classical lookback option. As a significant application of the joint distribution above, we evaluate the price of quantile lookback options.

Code(s) de Classification MSC:  90A09 Finance, portfolios, investment ;  62P05 Applications to actuarial sciences and financial mathematics ;  60J55 Local time and additive functionals ; 

Mots Clés: quantiles; diffusion process; Brownian motion with drift; lookback options; Feynman-Kac's formulae

Langue du texte: Anglais

Article reçu: 2001-02-27