Inhomogeneous Geometric Brownian Motion
38 Pages Posted: 7 Jul 2009 Last revised: 22 May 2012
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: 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
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