Feynman–Kac for functional jump diffusions with an application to Credit Value Adjustment
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References listed on IDEAS
- Levental, Shlomo & Schroder, Mark & Sinha, Sumit, 2013. "A simple proof of functional Itô’s lemma for semimartingales with an application," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2019-2026.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics,
Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Frank Bosserhoff & Mitja Stadje, 2019. "Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model," Papers 1908.05534, arXiv.org.
- Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta hedging in a jump-diffusion model," Papers 1910.08946, arXiv.org.
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KeywordsFunctional Feynman–Kac theorem; Functional Itô formula; Functional jump diffusion; Credit Value Adjustment; Path-dependent derivatives;
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