Forward equations for option prices in semimartingale models
classification
💱 q-fin.PR
math.PRq-fin.CP
keywords
equationforwardmodelspricessemimartingaleassetcallclass
read the original 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. 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.