Before revision: This paper studies pricing of stock options for the case when the evolution of the risk-free assets or bond is stochastic . We show that, in the typical scenario, the martingale measure is not unique , that there are non-replicable claims , and that the martingale prices can vary significantly;
After revision: This paper studies stock options pricing in the presence of the stochastic deviations in bond prices. The martingale measure is not unique , that there are non-replicable claims , and that the martingale prices can vary significantly;