The pricing of options for securities markets with delayed response

DOI10.1016/j.matcom.2006.09.002zbMath1301.91053MaRDI QIDQ2372448

Jianhong Wu, Anatoliy Swishchuk, Yuriy Kazmerchuk

Publication date: 27 July 2007

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2006.09.002

zbMATH Keywords

GARCH; Black-Scholes formula; stochastic delay differential equations; (B,S)-securities market

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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