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
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
Journal title :
Stochastic Processes and their Applications