The pricing of options for securities markets with delayed response

Authors:
Yuriy Kazmerchuk;Anatoliy Swishchuk;Jianhong Wu
Affiliations:
Department of Mathematics & Statistics, York University, Toronto, Canada M3J 1P3;Department of Mathematics and Statistics, University of Calgary, Calgary, Canada T2N 1N4;Department of Mathematics & Statistics, York University, Toronto, Canada M3J 1P3
Venue:
Mathematics and Computers in Simulation
Year:
2007

Citing 2
Cited 1

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Stochastic differential equations (3rd ed.): an introduction with applications
The European option with hereditary price structures: basic theory

Applied Mathematics and Computation

Brief paper: Maximum principle for the stochastic optimal control problem with delay and application

Automatica (Journal of IFAC)

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Abstract

The analogue of Black-Scholes formula for vanilla call option price in conditions of (B,S)-securities market with delayed response is derived. A special case of continuous-time version of GARCH is considered. The results are compared with the results of Black and Scholes.