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The pricing of options for securities markets with delayed response

Author

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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. Flavia Sancier & Salah Mohammed, 2017. "An Option Pricing Model with Memory," Papers 1709.00468, arXiv.org.
    3. repec:eee:phsmap:v:495:y:2018:i:c:p:143-151 is not listed on IDEAS

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