AN OPTION VALUATION FRAMEWORK BASED ON ARITHMETIC BROWNIAN MOTION: JUSTIFICATION AND IMPLEMENTATION ISSUES
研究了算术布朗运动作为期权定价替代框架的可行性，对比了几何布朗运动，提出处理负股价的新方法，并总结了两种方法的优缺点。
Abstract We examine arithmetic Brownian motion as an alternative framework for option valuation and related tasks. After reexamining empirical evidence, we compare and contrast option valuation based on one of the simplest forms of geometric Brownian motion with arithmetic Brownian motion. We identify an enhanced way to handle negative stock prices within arithmetic Brownian motion that is consistent with empirical observation. We review numerous strengths and weaknesses of both approaches. The arithmetic Brownian motion framework allows for the aggregation of any number of correlated factors for risk analysis.