Delay Stochastic Models in Finance

DOI10.1007/978-3-319-30379-6_51MaRDI QIDQ2958818zbMATH OpenOpenAlexFDO

Authors Anatoliy Swishchuk

Publication date 3 February 2017

Published in Mathematical and Computational Approaches in Advancing Modern Science and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-30379-6_51

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A continuous-time GARCH model for stochastic volatility with delay
• A Delayed Black and Scholes Formula
• A stochastic delay financial model
• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Modelling and pricing of variance swaps for multi-factor stochastic volatilities with delay
• The pricing of options for securities markets with delayed response
• Theory, stochastic stability and applications of stochastic delay differential equations: a survey of results

Cited in

(5)

• Time-delayed stochastic volatility model
• scientific article; zbMATH DE number 2119869 (Why is no real title available?)
• A continuous-time GARCH model for stochastic volatility with delay
• Modelling and pricing of variance swaps for multi-factor stochastic volatilities with delay
• Time-dependent solutions for stochastic systems with delays: perturbation theory and applications to financial physics

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