A Delayed Black and Scholes Formula

DOI10.1080/07362990601139669zbMath1119.60059arXivmath/0604640OpenAlexW2009602427MaRDI QIDQ3444689

Gyula Pap, Salah-Eldin A. Mohammed, Mercedes Arriojas, Yaozhong Hu

Publication date: 4 June 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0604640

zbMATH Keywords

equivalent martingale measure option pricing Black and Scholes formula stochastic delay model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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