Embrechts, Paul; Samorodnitsky, Gennady - In: Stochastic Processes and their Applications 59 (1995) 2, pp. 217-233
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...
