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PRICING OPTIONS IN A DELAYED MARKET DRIVEN BY LE'VY NOISE
Journal article   Open access  Peer reviewed

PRICING OPTIONS IN A DELAYED MARKET DRIVEN BY LE'VY NOISE

Ismail Hamed Elsanousi
International journal of analysis and applications, Vol.19(4), pp.494-502
01/01/2021
DOI: https://doi.org/10.28924/2291-8639-19-2021-494

Abstract

Mathematics Physical Sciences Science & Technology
In this paper we studied stochastic delayed differential equations driven by Le'vy noise. The analogue of It (o) over cap formula is considered. The Black-Scholes formula analogue for Vanilla call option price formula is derived.
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https://doi.org/10.28924/2291-8639-19-2021-494View
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