SAMPLE QUANTILES OF HEAVY TAILED STOCHASTIC-PROCESSES

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:59

Article

EMBRECHTS, P ; SAMORODNITSKY, G

关键词: SAMPLE QUANTILES;    LOOK-BACK OPTIONS;    REGULAR VARIATION;    INFINITELY DIVISIBLE PROCESSES;    STABLE PROCESSES;    LEVY MEASURE;    TAIL BEHAVIOR OF THE DISTRIBUTION;   

DOI  :  10.1016/0304-4149(95)00044-8

来源: Elsevier

【 摘 要 】

Distributions of sample quantiles of measurable stochastic processes are important for the purpose of rational pricing of ''look-back'' options. In this paper we compute the exact tail behavior of the sample quantile distribution for a large class of infinitely divisible stochastic processes with heavy tails.

【 授权许可】

Free