Economy – Quantitative Finance – Pricing of Securities
Scientific paper
2010-01-08
Economy
Quantitative Finance
Pricing of Securities
Proof shortened+ reference added. Final revision before publication
Scientific paper
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. A uniqueness
theorem is given for the solutions of this equation. This result generalizes
Dupire's forward equation to a large class of non-Markovian models with jumps.
Bentata Amel
Cont Rama
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