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Preprints, Working Papers, ... Year : 2009

Forward equations for option prices in semimartingale models

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. This result generalizes Dupire's forward equation to a large class of non-Markovian models with jumps and allows to retrieve various forward equations previously obtained for option prices in a unified framework.
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Dates and versions

hal-00445641 , version 1 (10-01-2010)
hal-00445641 , version 2 (17-01-2010)
hal-00445641 , version 3 (21-04-2011)

Identifiers

  • HAL Id : hal-00445641 , version 3

Cite

Amel Bentata, Rama Cont. Forward equations for option prices in semimartingale models. 2009. ⟨hal-00445641v3⟩
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