Pricing Options in a Delayed Market Driven by Le'vy Noise

Elsanousi, Ismail Hamed

doi:10.28924/2291-8639-19-2021-494

Research Article

Pricing Options in a Delayed Market Driven by Le'vy Noise

Ismail Hamed Elsanousi¹

Al-Baha University, Saudi Arabia

Abstract

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.

How to Cite

I. H. Elsanousi, Pricing Options in a Delayed Market Driven by Le'vy Noise, Int. J. Anal. Appl. 19 (2021), 494–502. https://doi.org/10.28924/2291-8639-19-2021-494

BibTeX

@article{Elsanousi2021,
  author  = {Elsanousi, Ismail Hamed},
  title   = {Pricing Options in a Delayed Market Driven by Le'vy Noise},
  journal = {Int. J. Anal. Appl.},
  volume  = {19},
  year    = {2021},
  pages   = {494--502},
  doi     = {10.28924/2291-8639-19-2021-494}
}

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