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Pricing via anticipative stochastic calculus
Published online by Cambridge University Press: 01 July 2016
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.
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- Research Article
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- Copyright © Applied Probability Trust 1994
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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