The pricing of options for securities markets with delayed response
AbstractThe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Mathematics and Computers in Simulation (MATCOM).
Volume (Year): 75 (2007)
Issue (Month): 3 ()
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Web page: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/
(B; S)-securities market; Stochastic delay differential equations; GARCH; Black–Scholes formula;
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