Delay geometric Brownian motion in financial option valuation

DOI10.1080/17442508.2011.652965zbMath1291.60122OpenAlexW2048051674MaRDI QIDQ5411907

Sotirios Sabanis, Xuerong Mao

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/42376/

zbMATH Keywords

strong convergencederivative pricinglocal Lipschitz conditionstochastic delay differential equationsEuler-Maruyama

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (11)

The pricing of European options on two underlying assets with delays ⋮ Robustness analysis on the pricing of some options on two assets with delays ⋮ Robust Portfolio Choice with Sticky Wages ⋮ Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation ⋮ A pricing formula for delayed claims: appreciating the past to value the future ⋮ Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps ⋮ Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay ⋮ A global maximum principle for stochastic optimal control problems with delay and applications ⋮ Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values ⋮ Market attention and Bitcoin price modeling: theory, estimation and option pricing ⋮ Stochastic recursive optimal control problem with time delay and applications

Uses Software

• Mathematica

Cites Work

• The Pricing of Options and Corporate Liabilities
• Adapted solution of a backward stochastic differential equation
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• Diffusion approximation in past dependent models and applications to option pricing
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• A Delayed Black and Scholes Formula
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Complete Models with Stochastic Volatility
• Lévy Processes and Stochastic Calculus
• The Variance Gamma Process and Option Pricing
• 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
• Option pricing when underlying stock returns are discontinuous
• Stochastic Differential Equations with Markovian Switching
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