Delay geometric Brownian motion in financial option valuation

Mao, Xuerong, Sabanis, Sotirios . International Journal of Stochastic Modelling and Applications 2013. 85 (2) :295-320

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Bibtex

@article{CIS-268509,
  Author = {Mao, Xuerong and Sabanis, Sotirios},
  Title = {Delay geometric Brownian motion in financial option valuation},
  Journal = {International Journal of Stochastic Modelling and Applications},
  Volume = {85},
  Number = {2},
  Year = {2013},
  Pages = {295--320},
  Keywords = {Intensity, reversible jump Markov chain Monte Carlo, dynamic frailty models, nonhomogeneous Poisson point process, Euler-Maruyama, Strong convergence, Stochastic delay differential equations, derivative pricing, local Lipschitz condition}
}

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