artículo
PRICING VIA ANTICIPATIVE STOCHASTIC CALCULUS
Date
1994Registration in:
10.2307/1427902
0001-8678
WOS:A1994QB65200010
Author
PLATEN, E
REBOLLEDO, R
Institutions
Abstract
The paper proposes a general model for pricing of derivative securities. The underlying dynamics follows stochastic equations involving anticipative stochastic integrals. These equations are solved explicitly and structural properties of solutions are studied.