DOAJ Open Access 2021

Pricing Options in a Delayed Market Driven by Le’vy Noise

Ismail Hamed Elsanousi

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Abstrak

In this paper we studied stochastic delayed differential equations driven by Le’vy noise. The analogue of Ito formula is considered. The Black-Scholes formula analogue for Vanilla call option price formula is derived.

Topik & Kata Kunci

Probabilities. Mathematical statistics Analysis

Penulis (1)

Ismail Hamed Elsanousi

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Elsanousi, I.H. (2021). Pricing Options in a Delayed Market Driven by Le’vy Noise. http://etamaths.com/index.php/ijaa/article/view/2364

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Informasi Jurnal

Tahun Terbit: 2021
Sumber Database: DOAJ
Akses: Open Access ✓