10 citations · 10 across the 2 of their papers we have counts for
2 papers
math.PR2017
On the Solution of Stochastic Functional Differential Equations via Memory Gap
Flavia Sancier, Salah Mohammed
We present an alternative proof for the existence of solutions of stochastic functional differential equations satisfying a global Lipschitz condition. The proof is based on an app…
q-fin.PR2017★ 10 cited
An Option Pricing Model with Memory
Flavia Sancier, Salah Mohammed
We obtain option pricing formulas for stock price models in which the drift and volatility terms are functionals of a continuous history of the stock prices. That is, the stock dyn…