具有时滞响应的择好期权定价（英文）

The Pricing of European Better-of Ptions with Delay Response

假设市场是完备的,在文中使用了计价单位变换,等价鞅测度理论和无套利原理研究了股票价格具有时滞的欧式择好期权,得到了欧式择好期权的定价公式和对冲交易策略.

Assuming that the markets are complete, we use the changes of numeraire, the theory of equivalent martin- gale measure and no-arbitrage property to study the pricing of European better-of options for stock prices with delay. In conclusion, we derive a closed-form representation of the option price, and hedging strategy.