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Correlators of Polynomial Processes - MaRDI portal

Correlators of Polynomial Processes (Q5013833)

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scientific article; zbMATH DE number 7438176
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English
Correlators of Polynomial Processes
scientific article; zbMATH DE number 7438176

    Statements

    title
    Correlators of Polynomial Processes (English)
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    author
    Fred Espen Benth
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    Silvia Lavagnini
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    publication date
    2 December 2021
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    zbMATH Keywords
    polynomial jump-diffusion process
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    correlators
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    eliminating and duplicating matrices
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    generator matrix
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    Hankel matrix
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    stochastic volatility
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    path-dependent option
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    Greeks
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    cites work
    Ambit Stochastics
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    Q2712748
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    Q4040931
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    Q4796283
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    Identifiers

    DOI
    10.1137/21M141556X
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    Mathematics Subject Classification ID
    91G20
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    60J74
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    60J60
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    zbMATH DE Number
    7438176
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    arXiv ID
    1906.11320
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    OpenAlex ID
    W3207683930
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