Forward equations for option prices in semimartingale models

被引：0
|
作者：
Amel Bentata
Rama Cont
机构：
[1] CNRS—Université de Paris VI,Laboratoire de Probabilités et Modèles Aléatoires
来源：
Finance and Stochastics | 2015年 / 19卷
关键词：
Forward equation; Dupire equations; Jump process; Semimartingale; Tanaka–Meyer formula; Markovian projection; Call option; Option pricing; 60H30; 91G20; 35S10; 91G80; C60; G13;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a—possibly discontinuous—semimartingale. This result generalizes Dupire’s forward equation to a large class of non-Markovian models with jumps.
引用
收藏
页码：617 / 651
页数：34
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