Pricing via anticipative stochastic calculus

DOI10.2307/1427902zbMath0817.90006OpenAlexW2403772449MaRDI 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 equationspricing of derivative securitiesanticipative stochastic integrals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)

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Maximum likelihood estimation in Skorohod stochastic differential equations

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