Arriojas, Mercedes; Hu, Yaozhong; Mohammed, Salah-Eldin; … - arXiv.org - 2006
This article is a sequel to [A.H.M.P]. In [A.H.M.P], we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic delay equation with fixed delays in the drift and diffusion terms. In this article, we look at models of the stock...