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A Note on the Joint Distribution of α, β-Percentiles and Its Application to the Option Pricing

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Abstract

In this paper, using Laplace transform, we will calculate the joint density of twopercentiles of stock prices in the Black–Sholes model and make the price of exchange options of such twopercentiles.

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Authors and Affiliations

  1. Graduate School of Commerce, Hitotsubashi University, Naka 2-1, Kunitachi, Tokyo, 186-8601, Japan

    Takahiko Fujita

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  1. Takahiko Fujita
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Fujita, T. A Note on the Joint Distribution of α, β-Percentiles and Its Application to the Option Pricing. Asia-Pacific Financial Markets 7, 339–344 (2000). https://doi.org/10.1023/A:1010046925696

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  • DOI: https://doi.org/10.1023/A:1010046925696

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