A class of delay Black-Scholes models with jump

DOI10.13482/J.ISSN1001-7011.2014.12.284MaRDI QIDQ3462839zbMATH OpenFDO

Authors Dawei Xue, Litan Yan, Qing-Hua Zhang

Publication date 15 January 2016

Full work available at URL https://doi.org/10.13482/J.ISSN1001-7011.2014.12.284

zbMATH Keywords

Black-Scholes formuladelay stochastic differential equation with jumpFöllmer-Schweizer minimal measureLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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(11)

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• Stock option pricing with time delay
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• A delayed stochastic volatility correction to the constant elasticity of variance model
• On a continuous time stock price model with regime switching, delay, and threshold
• Delay geometric Brownian motion in financial option valuation

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