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Pricing via Anticipative Stochastic Calculus
Eckhard Platen and Rolando Rebolledo
Advances in Applied Probability
Vol. 26, No. 4 (Dec., 1994), pp. 1006-1021
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/1427902
Page Count: 16
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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.
Advances in Applied Probability © 1994 Applied Probability Trust