Corpus ID: 195699958

Correlators of Polynomial Processes

@article{Benth2019CorrelatorsOP,
  title={Correlators of Polynomial Processes},
  author={F. Benth and Silvia Lavagnini},
  journal={arXiv: Probability},
  year={2019}
}
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… Expand
1 Citations
Abstract polynomial processes.
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