Perpetual American options with fractional Brownian motion
推导了股票对数收益率由分数布朗运动驱动时永续美式期权价值的闭式解，Hurst参数在(0,1)区间，标准布朗运动是特例。
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