Pricing via anticipative stochastic calculus

Authors
Platen, Eckhard Rebolledo, Rolando
Citation
Platen, Eckhard et Rebolledo, Rolando, Pricing via anticipative stochastic calculus, Advances in applied probability , 26(4), 1994, pp. 1006-1021
Journal title
Advances in applied probability → ACNP
ISSN journal
00018678
Volume
26
Issue
4
Year of publication
1994
Pages
1006 - 1021
Database
ACNP
SICI code
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.