Perpetual American options with fractional Brownian motion

被引：35

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

页码：123 / 128

页数：6

共 24 条

[1]

ASMUSSEN S, 2002, RUSSIAN AM PUT OPTIO

[2] EFFICIENT ANALYTIC APPROXIMATION OF AMERICAN OPTION VALUES [J].