A Delayed Black and Scholes Formula
نویسندگان
چکیده
منابع مشابه
Long range dependence, no arbitrage and the Black-Scholes formula
A bond and stock model is considered where the driving process is the sum of a Wiener process W and a continuous process Z with zero generalized quadratic variation. By means of forward integrals a hedge against Markov type claims is contructed. If Z is independent of W under some natural assumptions on Z and the admissible portfolio processes the model is shown to be arbitrage free. The fair p...
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The most important application of the Itô calculus, derived from the Itô lemma, in financial mathematics is the pricing of options. The most famous result in this area is the Black-Scholes formulae for pricing European vanilla call and put options. As a consequence of the formulae, both in theoretical and practical applications, Robert Merton and Myron Scholes were awarded the Nobel Prize for E...
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2007
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362990601139669