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Pricing via anticipative stochastic calculus

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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.

Suggested Citation

  • Eckhard Platen & Rolando Rebolledo, 1994. "Pricing via anticipative stochastic calculus," Published Paper Series 1994-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:ppaper:1994-2
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    File URL: https://www.cambridge.org/core/journals/advances-in-applied-probability/article/pricing-via-anticipative-stochastic-calculus/85D74BEBAA9457719EF0E1A9565D09DE
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    Cited by:

    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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