• Corpus ID: 235658042

On Stochastic PDEs for the pricing of derivatives in a multi-dimensional diffusion framework

@inproceedings{Das2021OnSP,
  title={On Stochastic PDEs for the pricing of derivatives in a multi-dimensional diffusion framework},
  author={Kaustav Das and Ivan Guo and Gr{\'e}goire Loeper},
  year={2021}
}
In a multi-dimensional diffusion framework, the price of a financial derivative can be expressed as an iterated conditional expectation, where the inner conditional expectation conditions on the future of an auxiliary process that enters into the dynamics for the spot. Inspired by results from non-linear filtering theory, we show that this inner conditional expectation solves a backward SPDE (a so-called ‘conditional Feynman-Kac formula’), thereby establishing a connection between SPDE and… 
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