A Delayed Black and Scholes Formula I
概率论
2008-12-02 v1 统计理论
证券定价
统计理论
摘要
In this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to fit real market data, and is yet simple enough to allow for a closed-form representation of the option price. Furthermore, the model maintains the no-arbitrage property and the completeness of the market. The derivation of the option-pricing formula is based on an equivalent martingale measure.
关键词
引用
@article{arxiv.math/0604640,
title = {A Delayed Black and Scholes Formula I},
author = {Mercedes Arriojas and Yaozhong Hu and Salah-Eldin Mohammed and Gyula Pap},
journal= {arXiv preprint arXiv:math/0604640},
year = {2008}
}