Stock option pricing with time delay

DOI10.6040/J.ISSN.1671-9352.2.2017.156MaRDI QIDQ4688754zbMATH OpenFDO

Authors Li Chen, Ling Lin

Publication date 22 October 2018

Full work available at URL https://doi.org/10.6040/J.ISSN.1671-9352.2.2017.156

zbMATH Keywords

advanced stochastic differential equationdelay impactdelayed backward stochastic differential equationoption pricing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(9)

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• The pricing of options for securities markets with delayed response
• A stochastic delay model for pricing debt and equity: numerical techniques and applications
• A Delayed Black and Scholes Formula
• A class of delay Black-Scholes models with jump
• Pricing formula for exchange option based on stochastic delay differential equation with jumps
• A financial market of a stochastic delay equation
• Pricing formula for a barrier call option based on stochastic delay differential equation
• Pricing formula of lookback option in stochastic delay differential equation model

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