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Sample quantiles of heavy tailed stochastic processes

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.
Year of publication:
1995
Authors: Embrechts, Paul ; Samorodnitsky, Gennady
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 59.1995, 2, p. 217-233
Publisher: Elsevier
Keywords: Sample quantiles Look-back options Regular variation Infinitely divisible processes Stable processes Lévy measure Tail behavior of the distribution
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008873115
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