Title of article
Sample quantiles of heavy tailed stochastic processes
Author/Authors
Embrechts، نويسنده , , Paul and Samorodnitsky، نويسنده , , Gennady، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1995
Pages
17
From page
217
To page
233
Abstract
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.
Keywords
Sample quantiles , Regular variation , Look-back options , Infinitely divisible processes , Tail behavior of the distribution , Lévy measure , Stable processes
Journal title
Stochastic Processes and their Applications
Serial Year
1995
Journal title
Stochastic Processes and their Applications
Record number
1575770
Link To Document