Pricing via anticipative stochastic calculus.
- Platen, Eckhard
- Rebolledo, Rolando
2010 Mathematics Subject Classification
- 90A09 60G35 60H10
- Pricing, derivative securities, bonds, anticipative linear stochastic equations
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.