This paper considers a problem of asset pricing for case when the short-term interest rate process does not have the markovian property. In this case the price can be determined also by state variables some of that are not observable. In the same time from the practical point of view, the...

Processes of the interest rates and other financial indexes in continuous time are usually modeled in the literature by stochastic processes with independent increments. Such processes are described by the stochastic differential equations and are the Markov processes. As it follows from the...