Forward equations for option prices in semimartingale models

DOI10.1007/s00780-015-0265-zzbMath1325.60115arXiv1001.1380OpenAlexW1666537522MaRDI QIDQ2516772

Amel Bentata, Rama Cont

Publication date: 4 August 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.1380

zbMATH Keywords

option pricingsemimartingalejump processpartial integro-differential equationsforward partial differential equationsTanaka-Meyer formula

Mathematics Subject Classification ID

Related Items (21)

Mimicking an Itō process by a solution of a stochastic differential equation ⋮ Option pricing in the moderate deviations regime ⋮ On the drawdowns and drawups in diffusion-type models with running maxima and minima ⋮ Reconstructing volatility: Pricing of index options under rough volatility ⋮ Markov projection of semimartingales -- application to comparison results ⋮ Option pricing in illiquid markets: a fractional jump-diffusion approach ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps ⋮ On the Markovian projection in the Brunick-Shreve mimicking result ⋮ On the calibration of local jump-diffusion asset price models ⋮ Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility ⋮ Nonparametric implied Lévy densities ⋮ SMILE MODELING IN COMMODITY MARKETS ⋮ RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES ⋮ Tangent Lévy market models ⋮ Risk aggregation and stochastic claims reserving in disability insurance ⋮ Small time central limit theorems for semimartingales with applications ⋮ Forward equations for option prices in semimartingale models ⋮ Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing ⋮ Nonparametric spot volatility from options ⋮ A splitting strategy for the calibration of jump-diffusion models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Making Markov martingales meet marginals: With explicit constructions
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Numerical methods for Lévy processes
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Option price when the stock is a semimartingale
• Application of large deviation methods to the pricing of index options in finance.
• Stochastic flow approach to Dupire's formula
• Integro-differential equations for option prices in exponential Lévy models
• Forward equations for option prices in semimartingale models
• DYNAMIC CDO TERM STRUCTURE MODELING
• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
• No Arbitrage and General Semimartingales
• One-Parameter Semigroups for Linear Evolution Equations
• From local volatility to local Lévy models
• Asymptotics and calibration of local volatility models
• Stochastic Volatility for Lévy Processes
• Financial Modelling with Jump Processes
• RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES
• Computational Methods for Option Pricing

This page was built for publication: Forward equations for option prices in semimartingale models