WIAS Preprint No. 42, (1993)

Pricing via anticipative stochastic calculus.



Authors

  • Platen, Eckhard
  • Rebolledo, Rolando

2010 Mathematics Subject Classification

  • 90A09 60G35 60H10

Keywords

  • Pricing, derivative securities, bonds, anticipative linear stochastic equations

DOI

10.20347/WIAS.PREPRINT.42

Abstract

The paper proposes a general model for pricing of derivative securities with different maturity. The underlying dynamics follows stochastic equations involving anticipative stochastic integrals. These equations are solved explicitly and structural properties of solutions are studied.

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