Forward-Backward SDEs driven by L\'evy Processes and Application to Option Pricing
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Publication:3190972
zbMath1296.60229arXiv1203.5546MaRDI QIDQ3190972
R. S. Pereira, Evelina Shamarova
Publication date: 19 September 2014
Full work available at URL: https://arxiv.org/abs/1203.5546
Lévy processesoption pricingforward-backward stochastic differential equationspartial integro-differential equationFBSDEs
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