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Perpetual American options with fractional Brownian motion

By Robert Elliott and Leunglung Chan

Abstract

In this paper, we derive a closed from solution for the value of a perpetual American option when the logreturn of a stock is driven by a fractional Brownian motion, with Hurst parameter H ↦ (0,1). A special case of our model would be the model driven by standard Brownian motion

DOI identifier: 10.1080/14697680400000016
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Provided by: Research Papers in Economics
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