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The pricing of options for securities markets with delayed response

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  • Kazmerchuk, Yuriy
  • Swishchuk, Anatoliy
  • Wu, Jianhong

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.

Suggested Citation

  • Kazmerchuk, Yuriy & Swishchuk, Anatoliy & Wu, Jianhong, 2007. "The pricing of options for securities markets with delayed response," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 75(3), pages 69-79.
    • Handle: RePEc:eee:matcom:v:75:y:2007:i:3:p:69-79
    DOI: 10.1016/j.matcom.2006.09.002
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    References listed on IDEAS

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    Cited by:

    1. Bhat, Harish S. & Kumar, Nitesh, 2012. "Option pricing under a normal mixture distribution derived from the Markov tree model," European Journal of Operational Research, Elsevier, vol. 223(3), pages 762-774.
    2. Orimar Sauri, 2024. "Asymptotic Error Distribution of the Euler Scheme for Fractional Stochastic Delay Differential Equations with Additive Noise," Papers 2402.08513, arXiv.org.
    3. Wu, Anshun & Dong, Yang & Luo, Yuhui & Zeng, Chunhua, 2020. "Fluctuations-induced regime shifts in the Endogenous Credit system with time delay," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
    4. Cordoni, Francesco & Di Persio, Luca & Maticiuc, Lucian & Zălinescu, Adrian, 2020. "A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1669-1712.
    5. Flavia Sancier & Salah Mohammed, 2017. "An Option Pricing Model with Memory," Papers 1709.00468, arXiv.org.
    6. Lin, Lisha & Li, Yaqiong & Wu, Jing, 2018. "The pricing of European options on two underlying assets with delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 143-151.

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