We present a model to describe the stochastic evolution of stocks that show a strong resistance at some level and generalize to this situation the evolution based upon geometric Brownian motion. If volatility and drift are related in a certain way we show that our model can be integrated in an...

We consider the problem of how to prize general securities whose payoff at maturity only depends on the interest rate rT at the time of exercise, where rt is supposed to be a stochastic Feller process. We show how to generalize the results of Cox et al. [Econometrica 53 (2) (1985) 385] regarding...