A Delayed Black and Scholes Formula
From MaRDI portal
Publication:3444689
DOI10.1080/07362990601139669zbMath1119.60059arXivmath/0604640MaRDI QIDQ3444689
Gyula Pap, Salah-Eldin A. Mohammed, Mercedes Arriojas, Yaozhong Hu
Publication date: 4 June 2007
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0604640
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
60H05: Stochastic integrals
60H07: Stochastic calculus of variations and the Malliavin calculus
Related Items
PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS, Large deviations for neutral functional SDEs with jumps, Necessary and sufficient conditions for near-optimality of stochastic delay systems, A Feynman-Kac type formula for a fixed delay CIR model, The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus, Delay geometric Brownian motion in financial option valuation, Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition, Finite horizon stochastic H2/H∞ control with discrete and distributed delays, Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation, Stability of stochastic time-delay systems involving delayed impulses, A pricing formula for delayed claims: appreciating the past to value the future, Strong convergence rate of implicit Euler scheme to a CIR model with delay, Pricing formula for a barrier call option based on stochastic delay differential equation, Stochastic recursive optimal control problem with time delay and applications, The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls, A delayed stochastic volatility correction to the constant elasticity of variance model, Pricing variance swaps for stochastic volatilities with delay and jumps, A type of general forward-backward stochastic differential equations and applications, An approximation scheme for Black-Scholes equations with delays, Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme, Exponential ergodicity for a class of non-Markovian stochastic processes, Spectral approximation of infinite-dimensional Black-Scholes equations with memory, Maximum principle for the stochastic optimal control problem with delay and application, From quantum mechanics to finance: microfoundations for jumps, spikes and high volatility phases in diffusion price processes, An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations, Maximum principle for near-optimality of stochastic delay control problem, Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application, Moments of the asset price for the Barndorff-Nielsen and Shephard model, Stochastic systems with memory and jumps, A Legendre-based computational method for solving a class of Itô stochastic delay differential equations, Delayed stochastic linear-quadratic control problem and related applications, Bubbles and crashes in a Black-Scholes model with delay, Tamed EM scheme of neutral stochastic differential delay equations, A financial market with singular drift and no arbitrage, The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations, The pricing of European options on two underlying assets with delays, Maximum principle for stochastic optimal control problem with distributed delays, Robustness analysis on the pricing of some options on two assets with delays, Stochastic optimal control problem in advertising model with delay, Option pricing under a normal mixture distribution derived from the Markov tree model, Market delay and \(G\)-expectations, A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance, Successive approximation of SFDEs with finite delay driven by \(G\)-Brownian motion, A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems, Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls, Moderate deviations for neutral stochastic differential delay equations with jumps, A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps, A note on Euler approximations for stochastic differential equations with delay, Long-term behavior of stochastic interest rate models with jumps and memory, A stochastic delay model for pricing debt and equity: numerical techniques and applications, Maximum principle for non-zero sum stochastic differential game with discrete and distributed delays, The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\), H2/H∞control for stochastic systems with delay, Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching, Arithmetic Asian Options under Stochastic Delay Models, Delay Stochastic Models in Finance, Recursive StochasticH2/H∞Control Problem for Delay Systems Involving Continuous and Impulse Controls, Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory, Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process, Difference equations with random delay
Cites Work
- The Pricing of Options and Corporate Liabilities
- Hyperinvariant subspaces for bilateral weighted shifts
- Robust option replication for a Black-Scholes model extended with nondeterministic trends
- Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities
- Moderate deviations for diffusions with Brownian potentials
- On the stability of processes defined by stochastic difference- differential equations
- Itô’s Calculus in Financial Decision Making
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Complete Models with Stochastic Volatility
- A stochastic delay financial model
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item