TY  - JOUR 
AU  - Gómez del Valle, María Lourdes
AU  - López Marcos, Miguel Ángel
AU  - Martínez Rodríguez, Julia
PY  - 2024
SN  - 0960-0779
UR  - https://uvadoc.uva.es/handle/10324/73300
AB  - In this work, we approach the solution of a differential problem for pricing commodity futures when the spot price follows a stochastic diffusion process with memory, that is, it depends on two discrete times: the present instant and a delayed one. In...
LA  - eng
PB  - Elsevier
KW  - Delay stochastic process
KW  - Random partial differential equation
KW  - Boundary conditions
KW  - Numerical simulation
KW  - Commodity futures
KW  - Gold market
TI  - Financial boundary conditions in a continuous model with discrete-delay for pricing commodity futures and its application to the gold market
DO  - 10.1016/j.chaos.2024.115476
ER  -