The pricing of options for securities markets with delayed response

DOI10.1016/J.MATCOM.2006.09.002zbMath1301.91053OpenAlexW2136280267MaRDI QIDQ2372448

Yuriy Kazmerchuk, Jianhong Wu, Anatoliy Swishchuk

Publication date: 27 July 2007

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2006.09.002

zbMATH Keywords

GARCHBlack-Scholes formulastochastic delay differential equations(B,S)-securities market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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