In the setting of 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.
翻译:在确定多边跳跃扩散动态时,我们为计算关联器提供了一个明确的公式,即流程在不同时间点的交叉点。公式显示为生成器矩阵指数的线性组合,扩展了已知的多元过程瞬时公式。例如,发达的框架可以适用于财务定价,例如取决于路径的选项和随机波动模型。在选项应用中,封闭式和紧凑式配方对敏感度分析和风险管理具有吸引力,因为希腊人可以被明确衍生出来。