Delay geometric Brownian motion in financial option valuation

DOI10.1080/17442508.2011.652965zbMath1291.60122OpenAlexW2048051674MaRDI QIDQ5411907

Sotirios Sabanis, Xuerong Mao

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/42376/

zbMATH Keywords

strong convergencederivative pricinglocal Lipschitz conditionstochastic delay differential equationsEuler-Maruyama

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (11)

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Uses Software

• Mathematica

Cites Work

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