Perpetual American options with fractional Brownian motion
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 motionSimilar works
This paper was published in Research Papers in Economics.
Having an issue?
Is data on this page outdated, violates copyrights or anything else? Report the problem now and we will take corresponding actions after reviewing your request.