功能跃迁扩散的费曼-卡克（Feynman Kac）与信用值调整的应用

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2015-06-19 DOI:10.2139/ssrn.2500782

Eduard Kromer, L. Overbeck, J. Röder

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引用次数: 14

摘要

我们证明了具有路径依赖系数的跃迁扩散的费曼-卡克函数定理，并将我们的结果应用于双边交易对手风险框架中的信用价值调整（CVA）问题。我们推导出相应的函数 CVA-PIDE，并将现有的 CVA 结果扩展到路径依赖衍生品定价的环境中。

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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Feynman Kac for Functional Jump Diffusions with an Application to Credit Value Adjustment

We provide a proof for the functional Feynman–Kac theorem for jump diffusions with path-dependent coefficients and apply our results to the problem of Credit Value Adjustment (CVA) in a bilateral counterparty risk framework. We derive the corresponding functional CVA-PIDE and extend existing results on CVA to a setting which enables the pricing of path-dependent derivatives.

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ERN: Other Econometric Modeling: Derivatives (Topic)

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