Abstract : 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 and allows to retrieve various forward equations previously obtained for option prices in a unified framework.
https://hal.archives-ouvertes.fr/hal-00445641
Contributeur : Rama Cont <>
Soumis le : jeudi 21 avril 2011 - 16:47:47
Dernière modification le : lundi 29 mai 2017 - 14:23:07
Document(s) archivé(s) le : vendredi 22 juillet 2011 - 03:02:53
