Delay geometric Brownian motion in financial option valuation
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Delayed Black and Scholes Formula
- Adapted solution of a backward stochastic differential equation
- Backward stochastic dynamics on a filtered probability space
- Complete Models with Stochastic Volatility
- Diffusion approximation in past dependent models and applications to option pricing
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- Lévy Processes and Stochastic Calculus
- Numerical solutions of stochastic differential delay equations under local Lipschitz condition
- Option pricing when underlying stock returns are discontinuous
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Stochastic Differential Equations with Markovian Switching
- Stock price distributions with stochastic volatility: an analytic approach
- The pricing of options and corporate liabilities
- The Variance Gamma Process and Option Pricing
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
- A global maximum principle for stochastic optimal control problems with delay and applications
- Stochastic recursive optimal control problem with time delay and applications
- A Delayed Black and Scholes Formula
- A class of delay Black-Scholes models with jump
- Geometric Brownian motion with delay: mean square characterisation
- scientific article; zbMATH DE number 2119869 (Why is no real title available?)
- Robust portfolio choice with sticky wages
- A financial market of a stochastic delay equation
- A continuous-time GARCH model for stochastic volatility with delay
- Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
- A pricing formula for delayed claims: appreciating the past to value the future
- Stochastic maximum principle for control systems with time-varying delay
- Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- A general maximum principle for optimal control of stochastic differential delay systems
- Numerical simulation of a dynamic human capital model with demographic delays via the local discrete Galerkin method
- Tamed EM method for a delayed Ait-Sahalia type model driven by Poisson jumps
- 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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