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October 2001 Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
David Nualart, Wim Schoutens
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Bernoulli 7(5): 761-776 (October 2001).

Abstract

In this paper we show the existence and uniqueness of a solution for backward stochastic differential equations driven by a Lévy process with moments of all orders. The results are important from a pure mathematical point of view as well as in finance: an application to Clark-Ocone and Feynman-Kac formulas for Lévy processes is presented. Moreover, the Feynman-Kac formula and the related partial differential integral equation provide an analogue of the famous Black-Scholes partial differential equation and thus can be used for the purpose of option pricing in a Lévy market.

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David Nualart. Wim Schoutens. "Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance." Bernoulli 7 (5) 761 - 776, October 2001.

Information

Published: October 2001
First available in Project Euclid: 15 March 2004

zbMATH: 0991.60045
MathSciNet: MR2002H:60125

Rights: Copyright © 2001 Bernoulli Society for Mathematical Statistics and Probability

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Vol.7 • No. 5 • October 2001
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