A Delayed Black and Scholes Formula

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

zbMATH Keywords

equivalent martingale measure; option pricing; Black and Scholes formula; stochastic delay model

Mathematics Subject Classification ID

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

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