PRICING VIA ANTICIPATIVE STOCHASTIC CALCULUS

dc.creatorPLATEN, E
dc.creatorREBOLLEDO, R
dc.date.accessioned2024-01-10T13:16:36Z
dc.date.available2024-01-10T13:16:36Z
dc.date.created2024-01-10T13:16:36Z
dc.date.issued1994
dc.identifier10.2307/1427902
dc.identifier0001-8678
dc.identifierhttps://doi.org/10.2307/1427902
dc.identifierhttps://repositorio.uc.cl/handle/11534/78598
dc.identifierWOS:A1994QB65200010
dc.description.abstractThe 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.
dc.languageen
dc.publisherAPPLIED PROBABILITY TRUST
dc.rightsacceso restringido
dc.subjectDERIVATIVE SECURITIES
dc.subjectBONDS
dc.subjectANTICIPATIVE LINEAR STOCHASTIC EQUATIONS
dc.subjectTERM STRUCTURE
dc.titlePRICING VIA ANTICIPATIVE STOCHASTIC CALCULUS
dc.typeartículo


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