Kazmerchuk, Yuriy; Swishchuk, Anatoliy; Wu, Jianhong - In: Mathematics and Computers in Simulation (MATCOM) 75 (2007) 3, pp. 69-79
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.
