The pricing of options for securities markets with delayed response

DOI10.1016/j.matcom.2006.09.002zbMath1301.91053MaRDI 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

GARCH; Black-Scholes formula; stochastic delay differential equations; (B,S)-securities market

Mathematics Subject Classification ID

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

Related Items

PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS, Exponential stability of stochastic nonlinear dynamical price system with delay, Pricing variance swaps for stochastic volatilities with delay and jumps, An approximation scheme for Black-Scholes equations with delays, Portfolio theory of optimal isometric force production: variability predictions and nonequilibrium fluctuation-dissipation theorem, Kramers-Moyal expansion for stochastic differential equations with single and multiple delays: applications to financial physics and neurophysics, Time-dependent solutions for stochastic systems with delays: perturbation theory and applications to financial physics, Spectral approximation of infinite-dimensional Black-Scholes equations with memory, Maximum principle for the stochastic optimal control problem with delay and application, Stochastic systems with memory and jumps, Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty, Fluctuations-induced regime shifts in the endogenous credit system with time delay, The pricing of European options on two underlying assets with delays, Robustness analysis on the pricing of some options on two assets with delays, Option pricing under a normal mixture distribution derived from the Markov tree model, The risks and returns of stock investment in a financial market, A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance, A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems, An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations, Infinite-dimensional Black-Scholes equation with hereditary structure, Delay Stochastic Models in Finance, Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory, Difference equations with random delay

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Diffusion approximation in past dependent models and applications to option pricing
• The European option with hereditary price structures
• Uncertain volatility models -- theory and application
• Generalized autoregressive conditional heteroscedasticity
• Analog of the black-scholes formula for option pricing under conditions of (b, s, x)-incomplete market of securities with jumps
• THE GARCH OPTION PRICING MODEL
• Complete Models with Stochastic Volatility
• A General Fractional White Noise Theory And Applications To Finance
• On the monotonicity and constancy of signs of some rational explicit methods for nonlinear systems of ordinary differential equations
• Pricing and hedging derivative securities in markets with uncertain volatilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Stochastic differential equations. An introduction with applications.