摘要翻译：
连续时间随机游动是描述最小尺度下的市场行为的一个非常合适的工具：滴答对滴答的演化。我们将这种市场模型应用于永续美式期权的估值：无到期日、可随时行使的衍生品。我们的方法导致期权价格在对控制过程的动力学做出规范假设时满足金融公式，但它仍然适用于更异国情调的市场条件。
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英文标题：
《Perpetual American options within CTRW's》
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作者：
Miquel Montero
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no maturity that can be exercised at any time. Our approach leads to option prices that fulfil financial formulas when canonical assumptions on the dynamics governing the process are made, but it is still suitable for more exotic market conditions.
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PDF链接：
https://arxiv.org/pdf/0708.0544