10.1080/14697680400000016

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 motion

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Research Papers in Economics

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Last time updated on 7/6/2012

This paper was published in Research Papers in Economics.

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