Perpetual American options within CTRW's

Miquel Montero ()

Papers from arXiv.org

Abstract: Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no maturity that can be exercised at any time. Our approach leads to option prices that fulfil financial formulas when canonical assumptions on the dynamics governing the process are made, but it is still suitable for more exotic market conditions.

Date: 2007-08, Revised 2007-11
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Published in Physica A 387 (2008) 3936-3941

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Journal Article: Perpetual American options within CTRWs (2008)
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