A CHANGE OF MEASURE FORMULA FOR RECURSIVE CONDITIONAL EXPECTATIONS

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2024-05-30 DOI:10.1142/s0219024924500080

LUCA DI PERSIO, ALESSANDRO GNOATTO, MARCO PATACCA

引用次数: 0

Abstract

We derive a representation for the value process associated to the solutions of forward–backward stochastic differential equations in a jump-diffusion setting under multiple probability measures. Motivated by concrete financial problems, the latter representations are then applied to devise a generalization of the change of numéraire technique, allowing to obtain recursive pricing formulas in the presence of nonlinear funding terms due to e.g. collateralization agreements.

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递推条件期望的计量变化公式

我们推导出了在多概率度量条件下的跳跃扩散环境中，与前向-后向随机微分方程解相关的价值过程表示法。受具体金融问题的启发，我们将后一种表示法应用于设计数列变化技术的一般化，从而在存在抵押协议等非线性资金项的情况下获得递归定价公式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.