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.
| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
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 |
| _version_ | 1818718231456645120 |
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| author | Ismail Hamed Elsanousi |
| author_facet | Ismail Hamed Elsanousi |
| author_sort | Ismail Hamed Elsanousi |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-17T19:47:46Z |
| format | Article |
| id | doaj.art-0e5ef2bc4ef046f2bc66626901267ce5 |
| institution | Directory Open Access Journal |
| issn | 2291-8639 |
| language | English |
| last_indexed | 2024-12-17T19:47:46Z |
| publishDate | 2021-05-01 |
| publisher | Etamaths Publishing |
| record_format | Article |
| series | International Journal of Analysis and Applications |
| spelling | doaj.art-0e5ef2bc4ef046f2bc66626901267ce52022-12-21T21:34:50ZengEtamaths PublishingInternational Journal of Analysis and Applications2291-86392021-05-01194494502534Pricing Options in a Delayed Market Driven by Le’vy NoiseIsmail Hamed Elsanousi0Al-Baha University, Saudi ArabiaIn 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.http://etamaths.com/index.php/ijaa/article/view/2364 |
| spellingShingle | Ismail Hamed Elsanousi Pricing Options in a Delayed Market Driven by Le’vy Noise International Journal of Analysis and Applications |
| title | Pricing Options in a Delayed Market Driven by Le’vy Noise |
| title_full | Pricing Options in a Delayed Market Driven by Le’vy Noise |
| title_fullStr | Pricing Options in a Delayed Market Driven by Le’vy Noise |
| title_full_unstemmed | Pricing Options in a Delayed Market Driven by Le’vy Noise |
| title_short | Pricing Options in a Delayed Market Driven by Le’vy Noise |
| title_sort | pricing options in a delayed market driven by le vy noise |
| url | http://etamaths.com/index.php/ijaa/article/view/2364 |
| work_keys_str_mv | AT ismailhamedelsanousi pricingoptionsinadelayedmarketdrivenbylevynoise |