Pricing Options in a Delayed Market Driven by Le’vy Noise
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.
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| Format: | Article |
| Language: | English |
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Etamaths Publishing
2021-05-01
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| Series: | International Journal of Analysis and Applications |
| Online Access: | http://etamaths.com/index.php/ijaa/article/view/2364 |