Correlators of Polynomial Processes

DOI10.1137/21M141556XzbMath1479.91391arXiv1906.11320OpenAlexW3207683930MaRDI QIDQ5013833

Fred Espen Benth, Silvia Lavagnini

Publication date: 2 December 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.11320

zbMATH Keywords

stochastic volatilityHankel matrixgenerator matrixcorrelatorsGreekspath-dependent optioneliminating and duplicating matricespolynomial jump-diffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Related Items (2)

PRICING ASIAN OPTIONS WITH CORRELATORS ⋮ Matrix calculations for moments of Markov processes

Uses Software

• MATLAB expm
• CaterpillarSSA

Cites Work

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