Originalversjon
SIAM Journal on Financial Mathematics. 2021, 12 (4), 1374-1415, DOI: https://doi.org/10.1137/21M141556X
Sammendrag
In the setting of one-dimensional polynomial jump-diffusion dynamics, we provide an explicit formula for computing correlators, namely, cross-moments of the process at different time points along its path. The formula appears as a linear combination of exponentials of the generator matrix, extending the well-known moment formula for polynomial processes. The developed framework can, for example, be applied in financial pricing, such as for path-dependent options and in a stochastic volatility models context. In applications to options, having closed and compact formulations is attractive for sensitivity analysis and risk management, since Greeks can be derived explicitly.