16 citations · 19 across the 2 of their papers we have counts for
2 papers
math.PR2006★ 3 cited
A Delayed Black and Scholes Formula II
Mercedes Arriojas, Yaozhong Hu, Salah-Eldin Mohammed +1
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 del…
math.PR2006★ 16 cited
A Delayed Black and Scholes Formula I
Mercedes Arriojas, Yaozhong Hu, Salah-Eldin Mohammed +1
In this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We b…