The arcsine law for quantile derivatives

A new pricing model for quantile-based derivatives, such as Napoleon options, is presented


Pricing and risk-managing derivatives linked to the quantiles, such as the median, of a distribution has not progressed much beyond the foundational, yet rather theoretical, research of the 1990s. Recent transformational market developments instigated by the Libor reform have thrust the median firmly into the spotlight for quants everywhere, it being the chosen mechanism for specifying the adjustment spread for the Libor rate replacement. In this article, Vladimir

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: