Option pricing in mathematical financial market with jumps and related problems. (Q1862674)

The author attacks the problem of option pricing by probabilistic methods and partial differential equations technique. He supposes that the price of the corresponding stock has Brownian and Poisson components, with some additional assumptions on the coefficients. A market with different kinds of stocks is considered and the option price for this case is presented. Then, a nonlinear and non-Lipschitz wealth process is studied, and it is established that the option price in this case satisfies a nonlinear backward stochastic differential equation. The main result demonstrates the assumptions supplying the existence of the solution of this equation. Some connections with partial differential equations are discussed and a new Feynman-Kac formula is derived.