Delay geometric Brownian motion in financial option valuation
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Cites work
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Cited in
(25)- Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values
- The pricing of European options on two underlying assets with delays
- Robustness analysis on the pricing of some options on two assets with delays
- Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
- Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay
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- Stochastic recursive optimal control problem with time delay and applications
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- Estimating and pricing commodity futures with time-delay stochastic processes
- Euler–Maruyama Approximations of a Delayed CIR-Type Interest Rate Model with Non-Lipschitz Diffusion Factor
- Market attention and Bitcoin price modeling: theory, estimation and option pricing
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