Inhomogeneous Geometric Brownian Motion

38 Pages Posted: 7 Jul 2009 Last revised: 22 May 2012

See all articles by Bo Zhao

Bo Zhao

City University London - Sir John Cass Business School

Date Written: July 26, 2009

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.

Keywords: mean reverting, hitting time, real option, confluent hypergeometric function

Suggested Citation

Zhao, Bo, Inhomogeneous Geometric Brownian Motion (July 26, 2009). Available at SSRN: https://ssrn.com/abstract=1429449 or http://dx.doi.org/10.2139/ssrn.1429449

Bo Zhao (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
413
Abstract Views
1,168
Rank
96,233
PlumX Metrics