Title :
European option pricing with time delay
Author :
Meng, Wu ; Nanjing, Huang ; Changwen, Zhao
Author_Institution :
Dept. of Math., Sichuan Univ., Chengdu
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;
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
DOI :
10.1109/CHICC.2008.4605620
