PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS

DOI10.1017/S0269964820000546zbMath1505.91383OpenAlexW3108549025WikidataQ115336234 ScholiaQ115336234MaRDI QIDQ5051185

Jongkuk Kim, Kyong-Hui Kim, Ho-Bom Jo

Publication date: 22 November 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964820000546

zbMATH Keywords

Black-Scholes modelpricing formulaEuropean call optionexchange optiondelay differential equations with jumps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic functional-differential equations (34K50) Jump processes on discrete state spaces (60J74)

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Cites Work

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