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Pricing via anticipative stochastic calculus

Part of:Stochastic processesStochastic analysis

Published online by Cambridge University Press:  01 July 2016

Eckhard Platen and
Rolando Rebolledo
Eckhard Platen*
Affiliation:
The Australian National University
Rolando Rebolledo*
Affiliation:
Universidad Católica de Chile
*
* Postal address: IAS, SMS, The Australian National University, GPO Box 4, Canberra, ACT 2601, Australia.
** Postal address: Universidad Católica de Chile, Faculdad de Matemática, Casilla 306, Santiago 22, Chile.
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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.

Keywords

DERIVATIVE SECURITIESBONDSANTICIPATIVE LINEAR STOCHASTIC EQUATIONS

MSC classification

Secondary:60G35: Signal detection and filtering60H10: Stochastic ordinary differential equations

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 26 , Issue 4 , December 1994, pp. 1006 - 1021
Copyright
Copyright © Applied Probability Trust 1994 

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Footnotes

This research was completed while R. R. was visiting the Australian National University. He acknowledges support received from ANU and FONDECYT grant 0807–91 for this program.

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