DocumentCode
2668020
Title
European option pricing with time delay
Author
Meng, Wu ; Nanjing, Huang ; Changwen, Zhao
Author_Institution
Dept. of Math., Sichuan Univ., Chengdu
fYear
2008
fDate
16-18 July 2008
Firstpage
589
Lastpage
593
Abstract
In this paper, by using convex analysis technique, an explicit formula for European option pricing with dividends and different borrowing and lending interest rates is obtained under the assumption that the stock price follows a nonlinear stochastic delay differential equation. Further, an optimal trading strategy for logarithmic utility of an insider is given.
Keywords
delays; nonlinear differential equations; pricing; share prices; stock markets; European option pricing; borrowing interest rates; convex analysis; lending interest rates; logarithmic utility; nonlinear stochastic delay differential equation; optimal trading strategy; stock price; time delay; Delay effects; Differential equations; Diffusion processes; Discrete wavelet transforms; Economic indicators; Marketing and sales; Mathematics; Pricing; Security; Stochastic processes; Backward stochastic differential equation; Black-Scholes formula; Insider; Option pricing;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference, 2008. CCC 2008. 27th Chinese
Conference_Location
Kunming
Print_ISBN
978-7-900719-70-6
Electronic_ISBN
978-7-900719-70-6
Type
conf
DOI
10.1109/CHICC.2008.4605620
Filename
4605620
Link To Document