A stochastic delay financial model
Author:
- 20 December 2004
- journal article
- Published by American Mathematical Society (AMS) in Proceedings of the American Mathematical Society
- Vol. 133 (6) , 1837-1841
Abstract
We compute the logarithmic utility of an insider when the financial market is modelled by a stochastic delay equation. Although the market does not allow free lunches and is complete, the insider can draw more from his wealth than the regular trader. We also offer an alternative to the anticipating delayed Black-Scholes formula, by proving stability of European call option prices when the delay coefficients approach the nondelayed ones.Keywords
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