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Pricing European options in a delay model with jumps

Author

Listed:
  • 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)

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.

Suggested Citation

  • Zaheer Imdad & Tusheng Zhang, 2014. "Pricing European options in a delay model with jumps," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(04), pages 1-13.
    • Handle: RePEc:wsi:jfexxx:v:01:y:2014:i:04:n:s2345768614500329
    DOI: 10.1142/S2345768614500329
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    References listed on IDEAS

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    1. Wilmott,Paul & Howison,Sam & Dewynne,Jeff, 1995. "The Mathematics of Financial Derivatives," Cambridge Books, Cambridge University Press, number 9780521497893, October.
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    Cited by:

    1. Nishant Agrawal & Yaozhong Hu, 2020. "Jump Models with delay -- option pricing and logarithmic Euler-Maruyama scheme," Papers 2010.04287, arXiv.org, revised Oct 2020.
    2. Nishant Agrawal & Yaozhong Hu, 2020. "Jump Models with Delay—Option Pricing and Logarithmic Euler–Maruyama Scheme," Mathematics, MDPI, vol. 8(11), pages 1-21, November.

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