The European option with hereditary price structures: Basic theory

Authors
Chang, MH Youree, RK
Citation
Mh. Chang et Rk. Youree, The European option with hereditary price structures: Basic theory, APPL MATH C, 102(2-3), 1999, pp. 279-296
Citations number
22
Categorie Soggetti
Engineering Mathematics
Journal title
APPLIED MATHEMATICS AND COMPUTATION
ISSN journal
00963003 → ACNP
Volume
102
Issue
2-3
Year of publication
1999
Pages
279 - 296
Database
ISI
SICI code
0096-3003(19990715)102:2-3<279:TEOWHP>2.0.ZU;2-9
Abstract
In this paper, we propose a new model for the (B,S)-market in which the sto ck price and the asset in the riskless bank account have hereditary price s tructures. Specifically, the dynamics of the stock price and the bank accou nt are described by linear stochastic functional differential equations. Th e pricing of the European contingent claims is studied and the correspondin g trading strategy is derived. (C) 1999 Published by Elsevier Science Inc. All rights reserved. AMS Classification: 90A09; 60H30; 60G44; 90A16.