L\'evy-FBSDE approach to option pricing

We show how the results on forward-backward SDEs driven by L\'evy processes obtained in our previous paper can be applied to portfolio selection in a L\'evy-type market. Our approach allows to characterize a class L\'evy driven FBSDEs which allows to select an optimal portfolio.

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Year of publication:	2013-09
Authors:	Shamarova, Evelina ; Rui S\'a Pereira
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010693438