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Perpetual American options within CTRW's

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Author Info
Miquel Montero

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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.

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File URL: http://arxiv.org/abs/0708.0544
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File URL: http://arxiv.org/pdf/0708.0544
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Publisher Info
Paper provided by arXiv.org in its series Quantitative Finance Papers with number 0708.0544.

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Date of creation: Aug 2007
Date of revision: Nov 2007
Publication status: Published in Physica A 387 (2008) 3936-3941
Handle: RePEc:arx:papers:0708.0544

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