A Delayed Black and Scholes Formula (Q3444689)

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A Delayed Black and Scholes Formula
scientific article

    Statements

    title
    A Delayed Black and Scholes Formula (English)
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    author
    Mercedes Arriojas
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    Gyula Pap
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    publication date
    4 June 2007
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    zbMATH Keywords
    Black and Scholes formula
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    equivalent martingale measure
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    option pricing
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    stochastic delay model
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    Identifiers

    Mathematics Subject Classification ID
    60H30
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    60H05
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    60H07
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    60H10
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    91G20
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    zbMATH DE Number
    5161384
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