Pricing European options in a delay model with jumps

Zaheer Imdad () and Tusheng Zhang ()
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Zaheer Imdad: School of Mathematics, University of Manchester, Oxford Road, Manchester, M13 9PL, UK
Tusheng Zhang: School of Mathematics, University of Manchester, Oxford Road, Manchester, M13 9PL, UK

Journal of Financial Engineering (JFE), 2014, vol. 01, issue 04, 1-13

Abstract: In this paper, we extend the delay option pricing formula proposed by Arriojas et al. (2007) by adding a jump term in the price dynamics equations. We believe our model provides an excellent environment to price European options as it has the ability to incorporate jumps as well as it depends on the past price behaviors.

Keywords: Black–Scholes formula; options pricing; stochastic delay differential equations (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S2345768614500329

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