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