Inhomogeneous Geometric Brownian Motion

Bo Zhao

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SSRN Electronic Journal

Article . 2009 . Peer-reviewed

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https://dx.doi.org/10.2139/ssr...

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Inhomogeneous Geometric Brownian Motion

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2009 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Bo Zhao;

doi: 10.2139/ssrn.1429449

Inhomogeneous Geometric Brownian Motion

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Abstract

In this paper, we study analytical and probability aspects with special emphasis on the Laplace transform of first-passage time and mean first-passage time of inhomogeneous geometric Brownian motion. Perpetual American put options and perpetual American call options when the value of a project or a project cash flow stream is characterized by an IGBM process are investigated.

Related Organizations

City St George’s, University of London
United Kingdom

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