The pricing of options for securities markets with delayed response

被引：23
|
作者：
Kazmerchuk, Yuriy [1 ]
Anatoliy, Swishchuk
Wu, Jianhong
机构：
[1] York Univ, Dept Math & Stat, Toronto, ON M3J 1P3, Canada
[2] Univ Calgary, Dept Math & Stat, Calgary, AB T2N 1N4, Canada
来源：
MATHEMATICS AND COMPUTERS IN SIMULATION | 2007年 / 75卷 / 3-4期
基金：
加拿大自然科学与工程研究理事会;
关键词：
(B. S)-securities rnarket; stochastic delay differential equations; GARCH; Black-Scholes formula;
D O I：
10.1016/j.matcom.2006.09.002
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
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. (C) 2006 IMACS. Published by Elsevier B.V. All rights reserved.
引用
收藏
页码：69 / 79
页数：11
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