Pricing via anticipative stochastic calculus

Eckhard Platen () and Rolando Rebolledo

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

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.

Keywords: derivative securities; bonds; antcipative linear stochastic equations (search for similar items in EconPapers)
Pages: 16 pages
Date: 1994-01-01
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Citations: View citations in EconPapers (1)

Published in: Platen, E. and Rebolledo, R., 1994, "Pricing Via Anticipative Stochastic Calculus", Advances In Applied Probability, 26(4), 1006-1021.

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