Research Publications

Citation

BibTex format

@article{Cont:2015:10.1007/s00780-015-0265-z,
author = {Cont, R and Bentata, A},
doi = {10.1007/s00780-015-0265-z},
journal = {Finance and Stochastics},
pages = {617--651},
title = {Forward equations for option prices in semimartingale models},
url = {http://dx.doi.org/10.1007/s00780-015-0265-z},
year = {2015}
}
Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We derive a forward partial integro-differential equation for prices of calloptions in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniquenesstheorem is given for the solutions of this equation. This result generalizesDupire's forward equation to a large class of non-Markovian models with jumps.
AU  - Cont,R
AU  - Bentata,A
DO  - 10.1007/s00780-015-0265-z
EP  - 651
PY  - 2015///
SN  - 1432-1122
SP  - 617
TI  - Forward equations for option prices in semimartingale models
T2  - Finance and Stochastics
UR  - http://dx.doi.org/10.1007/s00780-015-0265-z
UR  - http://arxiv.org/abs/1001.1380v4
UR  - http://link.springer.com/article/10.1007/s00780-015-0265-z
ER  -
Download