Montero, Miquel - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3936-3941
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....