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Forward-Backward SDEs driven by Lévy Processes and Application to Option Pricing

Recent developments on financial markets have revealed the limits of Brownian motion pricing models when they are applied to actual markets. Lévy processes, that admit jumps over time, have been found more useful for applications. Thus, we suggest a Lévy model based on Forward-Backward Stochastic Differential Equations (FBSDEs) for option pricing in a Lévy-type market. We show the existence and uniqueness of a solution to FBSDEs driven by a Lévy process. This result is important from the mathematical point of view, and also, provides a much more realistic approach to option pricing.

preprint2013arXivOpen access
Rui Sá PereiraEvelina Shamarova
math.PR
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Open access2 authors1 topic
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Rui Sá PereiraEvelina Shamarova

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