The European option with hereditary price structures

DOI10.1016/S0096-3003(98)10035-8zbMath1083.91512OpenAlexW1989828105MaRDI QIDQ1294213

Roger K. Youree, Mou-Hsiung Chang

Publication date: 1999

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(98)10035-8

zbMATH Keywords

option pricingstochastic functional differential equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic functional-differential equations (34K50) Stochastic analysis (60H99)

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Cites Work

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