GENERALIZED DELAYED BLACK–SCHOLES FORMULA

Authors

• Bi gole Hubert Le, Université Félix Houphouët-BoignyFollow
• Auguste Le Bi Golé, Département de Mathématiques et Informatique, Université Félix Houphouët–Boigny, Abidjan, Côte d’Ivoire, and: Département de Mathématiques Appliquées, Institut Universitaire d’Abidjan, Abidjan, Côte d’IvoireFollow

Abstract

The aim of this paper is to derive an explicit pricing formula for European options when the underlying asset follows a linear generalized delay differential equation in two distinct financial markets. The pricing methodology is based on the construction of an equivalent martingale measure using Girsanov’s theorem. Our models preserve both the no-arbitrage condition and market completeness. As such, this work extends the framework previously developed by Arriojas et al. in [16], providing a broader class of delay-based option pricing models.

Recommended Citation

Le, Bi gole Hubert and Le Bi Golé, Auguste (2026) "GENERALIZED DELAYED BLACK–SCHOLES FORMULA," Journal of Stochastic Analysis: Vol. 7: No. 2, Article 3.
DOI: 10.31390/josa.7.2.03
Available at: https://repository.lsu.edu/josa/vol7/iss2/3

DOI

10.31390/josa.7.2.03