Feynman-Kac for functional jump diffusions with an application to Credit Value Adjustment

被引：7

作者：

Kromer, E. ^{[1
]}

Overbeck, L. ^{[2
]}

Roeder, J. A. L. ^{[2
]}

机构：

[1] Univ Calif Berkeley, Dept Stat, Berkeley, CA 94720 USA

[2] Univ Giessen, Dept Math, D-35392 Giessen, Germany

来源：

STATISTICS & PROBABILITY LETTERS | 2015年 / 105卷

关键词：

Functional Feynman-Kac theorem; Functional Ito formula; Functional jump diffusion; Credit Value Adjustment; Path-dependent derivatives;

D O I：

10.1016/j.spl.2015.06.007

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We provide a proof for the functional Feynman-Kac theorem for jump diffusions with path-dependent coefficients and apply our results to the problem of Credit Value Adjustment (CVA) in a bilateral counterparty risk framework. We derive the corresponding functional CVA-PIDE and extend existing results on CVA to a setting which enables the pricing of path-dependent derivatives. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：120 / 129

页数：10