Pricing via anticipative stochastic calculus

DOI10.2307/1427902zbMath0817.90006MaRDI QIDQ4322091

Eckhard Platen, Rolando Rebolledo Berroeta

Publication date: 20 March 1995

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427902

zbMATH Keywords

stochastic equations; pricing of derivative securities; anticipative stochastic integrals

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G35: Signal detection and filtering (aspects of stochastic processes)

91G20: Derivative securities (option pricing, hedging, etc.)

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