Title: Pricing Options in a Delayed Market Driven by Le’vy Noise
Author(s): Ismail Hamed Elsanousi
Pages: 494-502
Cite as:
Ismail Hamed Elsanousi, Pricing Options in a Delayed Market Driven by Le’vy Noise, Int. J. Anal. Appl., 19 (4) (2021), 494-502.


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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