Gaussian moving average and delayed option pricing model
Chong Bian · Journal of Suzhou University of Science and Technology · 2011
Based on Black-Scholes formula,a delayed European option pricing model was constructed.Standard Brownian motion was replaced by Gaussian moving average process and certain conditions were satisfied to ensure the completeness of the market.It is believed that the proposed model is realistic enough to fit the real market data.Finally,we put forth the no-arbitrage property and an explicit hedging strategy under the equivalent martingale measure.