paper
Forward equations for option prices in semimartingale models
Rama Cont, Amel Bentata
Forward equations for option prices in semimartingale models
Rama Cont, Amel Bentata
Paper2010-01-08English
derivatives pricingarxiv
Description
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.
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