Adelaide Research & Scholarship
Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/621
| Citations | ||
| Scopus | Web of Science® | Altmetric |
|---|---|---|
|
?
|
?
|
|
| Type: | Journal article |
| Title: | Perpetual American options with fractional Brownian motion |
| Author: | Elliott, R. Chan, L. |
| Citation: | Quantitative Finance, 2003; 3(2):1-6 |
| Publisher: | IOP Publishing Ltd. |
| Issue Date: | 2003 |
| ISSN: | 1469-7688 1469-7696 |
| Statement of Responsibility: | Robert J Elliott and Leunglung Chan |
| Abstract: | 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 ∈ (0, 1). A special case of our model would be the model driven by standard Brownian motion. |
| Rights: | © 2004 IOP Publishing Ltd |
| DOI: | 10.1088/1469-7688/4/2/001 |
| Published version: | http://dx.doi.org/10.1088/1469-7688/4/2/001 |
| Appears in Collections: | Applied Mathematics publications Aurora harvest |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.