Outline Get formula for pricing European options when stock price follows a non-linear stochastic delay (or functional) differential equation. Proposed model is sufficiently flexible to fit real market data, yet allows for a closed-form explicit representation of the option price during the last delay period before maturity. A Delayed OptionPricing Formula-p.3/78 Outline Get formula for pricing European options when stock price follows a non-linear stochastic delay (or functional) differential

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... quation. Proposed model is sufficiently flexible to fit real market data, yet allows for a closed-form explicit representation of the option price during the last delay period before maturity. Construction of an equivalent local martingale measure via successive backward conditioning. A Delayed OptionPricing Formula-p.3/78 Outline Get formula for pricing European options when stock price follows a non-linear stochastic delay (or functional) differential equation. Proposed model is sufficiently flexible to fit real market data, yet allows for a closed-form explicit representation of the option price during the last delay period before maturity. Construction of an equivalent local martingale measure via successive backward conditioning. Model maintains the no-arbitrage property and completeness of the market. A Delayed OptionPricing Formula-p.3/78 Outline Get formula for pricing European options when stock price follows a non-linear stochastic delay (or functional) differential equation. Proposed model is sufficiently flexible to fit real market data, yet allows for a closed-form explicit representation of the option price during the last delay period before maturity. Construction of an equivalent local martingale measure via successive backward conditioning. Model maintains the no-arbitrage property and completeness of the market. Hedging strategy.