dc.date.accessioned | 2021-11-04T16:19:20Z | |
dc.date.available | 2021-11-04T16:19:20Z | |
dc.date.created | 2021-10-31T13:07:44Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Benth, Fred Espen Lavagnini, Silvia . Correlators of Polynomial Processes. SIAM Journal on Financial Mathematics. 2021 | |
dc.identifier.uri | http://hdl.handle.net/10852/89129 | |
dc.description.abstract | 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. | |
dc.language | EN | |
dc.title | Correlators of Polynomial Processes | |
dc.type | Journal article | |
dc.creator.author | Benth, Fred Espen | |
dc.creator.author | Lavagnini, Silvia | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk, finans og risiko | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 2 | |
dc.identifier.cristin | 1949924 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=SIAM Journal on Financial Mathematics&rft.volume=&rft.spage=&rft.date=2021 | |
dc.identifier.jtitle | SIAM Journal on Financial Mathematics | |
dc.identifier.volume | 12 | |
dc.identifier.issue | 4 | |
dc.identifier.startpage | 1374 | |
dc.identifier.endpage | 1415 | |
dc.identifier.doi | https://doi.org/10.1137/21M141556X | |
dc.identifier.urn | URN:NBN:no-91733 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 1945-497X | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/89129/2/Correlators.pdf | |
dc.type.version | AcceptedVersion | |