The pricing of options for securities markets with delayed response

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.

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Year of publication:	2007
Authors:	Kazmerchuk, Yuriy ; Swishchuk, Anatoliy ; Wu, Jianhong
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 75.2007, 3, p. 69-79
Publisher:	Elsevier
Subject:	(B \| S)-securities market \| Stochastic delay differential equations \| GARCH \| Black–Scholes formula

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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