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

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Ismail Hamed Elsanousi, Pricing Options in a Delayed Market Driven by Le'vy Noise, Int. J. Anal. Appl., 19 (4) (2021), 494-502.

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Ismail Hamed Elsanousi

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.

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References

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