PRICING VIA ANTICIPATIVE STOCHASTIC CALCULUS
link https://doi.org/10.2307/1427902account_box PLATEN, Eaccount_box REBOLLEDO, R
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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.
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| Autor | PLATEN, E REBOLLEDO, R |
| Título | PRICING VIA ANTICIPATIVE STOCHASTIC CALCULUS |
| Revista | ADVANCES IN APPLIED PROBABILITY |
| ISSN | 0001-8678 |
| Volumen | 26 |
| Número de publicación | 4 |
| Página inicio | 1006 |
| Página final | 1021 |
| Fecha de publicación | 1994 |
| Resumen | 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. |
| Derechos | acceso restringido |
| DOI | 10.2307/1427902 |
| Editorial | APPLIED PROBABILITY TRUST |
| Enlace | |
| Id de publicación en WoS | WOS:A1994QB65200010 |
| Paginación | 16 páginas |
| Palabra clave | DERIVATIVE SECURITIES BONDS ANTICIPATIVE LINEAR STOCHASTIC EQUATIONS TERM STRUCTURE |
| Tema ODS | 08 Decent Work and Economic Growth |
| Tema ODS español | 08 Trabajo decente y crecimiento económico |
| Tipo de documento | artículo |