Correlators of Polynomial Processes

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2019-06-26 DOI:10.1137/21m141556x

F. Benth, Silvia Lavagnini

引用次数: 4

Abstract

In the setting of polynomial jump-diffusion dynamics, we provide a formula for computing correlators, namely, cross-moments of the process at different time points along its path. The formula involves only linear combinations of the exponential of the so-called generator matrix, extending the well-known moment formula for polynomial processes. The developed framework allows to replace costly simulations with more accurate estimates, and it may be used for increasing the accuracy in financial pricing, such as for path-dependent options or in a stochastic volatility models context.

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多项式过程的相关器

在多项式跳跃-扩散动力学的情况下，我们给出了计算相关系数的公式，即过程在其路径上不同时间点的交叉矩。该公式只涉及所谓的生成矩阵的指数的线性组合，扩展了众所周知的多项式过程的矩公式。开发的框架允许用更准确的估计取代昂贵的模拟，并且可以用于提高金融定价的准确性，例如路径依赖期权或随机波动模型。

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

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.