Perpetual American options with fractional Brownian motion

Robert Elliott and Leunglung Chan

Quantitative Finance, 2004, vol. 4, issue 2, 123-128

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

Date: 2004
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DOI: 10.1080/14697680400000016

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