A Stochastic Financial Model with Time-Varying Delays

摘要：

In this paper, we develop an explicit formula for pricing European options when the underlying stock price follows a stochastic differential equation with time-varying delays in the drift and diffusion terms. We compute the utility of an insider and compare it with that of regular agent in a complete market. Finally, we offer the stability of European call option prices when the time-varying delay coefficients close to the nondelayed one.

作者: Meng Wu Changwen Zhao Nanjing Huang

作者单位: Department of Mathematics Sichuan University Chengdu, Sichuan, China, 610064 College of Business and Management Sichuan University Chengdu, Sichuan, China, 610064

会议类型: 国际会议

会议名称: Fourth International Conference on Impulsive and Hybrid Dynamical Systems(ICIHDS 2007)(第四届国际脉冲和混合动力系统学术会议)

会议地点: 南宁

会议语种:英文

在线出版日期: 2007-07-20（万方平台首次上网日期，不代表论文的发表时间）