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Zbl 1083.91512
Chang, Mou-Hsiung; Youree, Roger K.
The European option with hereditary price structures. (English)
[J] Appl. Math. Comput. 102, No. 2-3, 279-296 (1999). ISSN 0096-3003

The usual $(B,S)$-market is generalized to allow for hereditary price structures by considering functional space evolution equations. By adapting the traditional tools like self-financing strategies and risk neutral martingale measures to this model the pricing of a European contingent claim is studied and the corresponding trading strategy is derived.
[Michael Kohlmann (Bonn)]

MSC 2000:: *91B28 Finance etc.
34K50 Stochastic delay equations
60H99 Stochastic analysis

Keywords: option pricing; stochastic functional differential equation

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Zentralblatt MATH Berlin [Germany]