Date/heure
7 mai 2026
10:45 - 11:45
Lieu
Salle de conférences Nancy
Oratrice ou orateur
Auguste Aman (Université Félix Houphouët-Boigny, Côte d'Ivoire)
Catégorie d'évènement Séminaire Probabilités et Statistique
Résumé
We derive an explicit formula for a price of an European option associated to a stock price which follows a linear differential equation with a general delay in the drift term. We use an equivalent martingale measure method based on Girsanov’s property. When it is impossible to find a martingale measure, we introduce the link with backward stochastic equations.