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Showing 1 to 2 of 2 for “"Ito formula"”.
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The Martingale Approach to Financial Mathematics
… <em>Q</em> also gives the arbitrage-free pricing formula for every asset on our market. In considering a slightly more complicated model over a finite probability space, we see that <em>Q</em> once again makes its appearance. Finally, in the context of continuous time, we build a framework of …
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The new stochastic integral and anticipating stochastic differential equations
… processes. We also present several Itô formulas for the new stochastic integral. Finally, we apply the new Itô formula to solve a linear stochastic differential equations with anticipating initial conditions.