An option pricing model with memory

DOI10.31390/COSA.11.4.07MaRDI QIDQ6925946zbMATH OpenFDO

Authors Flavia Sancier, Salah Uddin Mohammad

Publication date 25 September 2025

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.31390/COSA.11.4.07

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cited in

(1)

• Tamed EM method for a delayed Ait-Sahalia type model driven by Poisson jumps

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