Perpetual American options with fractional Brownian motion

被引：34
|
作者：
Elliott, RJ
Chan, LL
机构：
[1] Univ Calgary, Haskayne Sch Business, Calgary, AB T2N 1N4, Canada
[2] Univ Calgary, Dept Math & Stat, Calgary, AB T2N 1N4, Canada
来源：
QUANTITATIVE FINANCE | 2004年 / 4卷 / 02期
关键词：
D O I：
10.1088/1469-7688/4/2/001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we derive a closed form 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 is an element of (0, 1). A special case of our model would be the model driven by standard Brownian motion.
引用
收藏
页码：123 / 128
页数：6
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