The Disinvestment Problem under Fractional Brownian Motion

摘要：

Under the assumption of the underlying asset is driven by the fractional Brownian motion, we obtain a formula for perpetual American put option using delta hedging strategy, and analyze the effect of volatility and Hurst index on the option value. We show that disinvestment is positive against the volatility of the project, but negative against the Hurst index.

关键词： real option fraction Brown motion Hurst index uncertainty

作者: Shanshan DING Shenghong LI

作者单位: Department of Mathematics, Zhejiang University

会议类型: 国际会议

会议名称: The Third International Conference on Modelling and Simulation(第三届国际建模、计算、仿真、优化及其应用学术会议 ICMS 2010)

会议地点: 无锡

会议语种:英文

页码: 282-285

在线出版日期: 2010-06-04（万方平台首次上网日期，不代表论文的发表时间）