Article ID Journal Published Year Pages File Type
1140574 Mathematics and Computers in Simulation 2007 11 Pages PDF
Abstract

The analogue of Black–Scholes formula for vanilla call option price in conditions of (B,S)(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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Physical Sciences and Engineering Engineering Control and Systems Engineering
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The pricing of options for securities markets with delayed response
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