The European option with hereditary price structures (Q1294213)
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scientific article; zbMATH DE number 1311038
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| English | The European option with hereditary price structures |
scientific article; zbMATH DE number 1311038 |
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The European option with hereditary price structures (English)
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1999
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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.
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option pricing
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stochastic functional differential equation
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0.8277973532676697
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0.7668629288673401
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0.7629199624061584
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0.7610152363777161
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