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Regularity of the American Put option in the Black–Scholes model with general discrete dividends

✍ Scribed by M. Jeunesse; B. Jourdain


Book ID
116888886
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
424 KB
Volume
122
Category
Article
ISSN
0304-4149

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A model for option pricing of a (γ , 2H)-fractional Black-Merton-Scholes equation driven by the dynamics of a stock price S(t) satisfying (dS , where B H (t) is a fractional Brownian motion with Hurst exponent H ∈ (0, 1), is established. We obtain the explicit option pricing formulas for the Europe