Forward-Backward SDEs driven by L´evy Processes and Application to Option Pricing
作者: R.S. Pereira E. Shamarova
刊名: Global and Stochastic Analysis, 2015, Vol.2 (2)
来源数据库: Mind Reader Publications
关键词: Forward-backward stochastic differential equationsFBSDEsL´evy processesPartial integro-differential equationOption pricing.
原始语种摘要: Recent developments on financial markets have revealed the limits of Brownian motion pricing models when they are applied to actual markets. L´evy processes, that admit jumps over time, have been found more useful for applications. Thus, we suggest a L´evy model based on Forward-Backward Stochastic Differential Equations (FBSDEs) for option pricing in a L´evy-type market. We show the existence and uniqueness of a solution to FBSDEs driven by a L´evy process. This result is important from the mathematical point of view, and also, provides a much more realistic approach to option pricing.
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  • pricing 定价
  • option 选择
  • driven 从动的
  • market 市场
  • financial 财政的
  • admit 容许
  • approach 
  • Application 应用
  • process 过程
  • uniqueness 唯一性