The pricing of options for securities markets with delayed response

The analogue of Black–Scholes formula for vanilla call option price in conditions of (B, S)-securities market with delayed response is derived. A special case of continuous-time version of GARCH is considered. The results are compared with the results of Black and Scholes. © 2006 IMACS. Published by Elsevier B.V. All rights reserved.

• Type: Journal
• Year: 2007
• Where: MCS
• Authors: Yuriy Kazmerchuk, Anatoliy Swishchuk, Jianhong Wu
• Keywords: Black–Scholes Formula, Continuous-time Version, MCS 2007, Option Price, Pattern Recognition