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Article Dans Une Revue Finance and Stochastics Année : 2015

Forward equations for option prices in semimartingale models

Résumé

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.

Dates et versions

hal-01191837 , version 1 (02-09-2015)

Identifiants

Citer

A. Bentata, R. Cont. Forward equations for option prices in semimartingale models. Finance and Stochastics, 2015, 19 (3), pp.617-651. ⟨10.1007/s00780-015-0265-z⟩. ⟨hal-01191837⟩
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