A Delayed Black and Scholes Formula I

Simple item page
dc.creatorArriojas, Mercedes
dc.creatorHu, Yaozhong
dc.creatorMohammed, Salah-Eldin
dc.creatorPap, Gyula
dc.date2006-04-28
dc.date.accessioned2026-07-07T12:07:17Z
dc.date.available2026-07-07T12:07:17Z
dc.descriptionIn this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to fit real market data, and is yet simple enough to allow for a closed-form representation of the option price. Furthermore, the model maintains the no-arbitrage property and the completeness of the market. The derivation of the option-pricing formula is based on an equivalent martingale measure.
dc.identifierhttps://arxiv.org/abs/math/0604640
dc.identifierhttp://arxiv.org/abs/math/0604640
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208919
dc.subjectProbability
dc.subjectStatistics Theory
dc.subjectPricing of Securities
dc.titleA Delayed Black and Scholes Formula I
dc.typetext

Files

Collections

arXiv