Sciweavers

MCS
2007
Springer

The pricing of options for securities markets with delayed response

13 years 3 months ago
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. © 2006 IMACS. Published by Elsevier B.V. All rights reserved.
Yuriy Kazmerchuk, Anatoliy Swishchuk, Jianhong Wu
Added 16 Dec 2010
Updated 16 Dec 2010
Type Journal
Year 2007
Where MCS
Authors Yuriy Kazmerchuk, Anatoliy Swishchuk, Jianhong Wu
Comments (0)