English

A change of measure formula for recursive conditional expectations

Probability 2022-07-13 v3 Mathematical Finance Pricing of Securities

Abstract

In this paper, we derive a representation for the value process associated to the solutions of FBSDEs in a jump-diffusion setting under multiple probability measures. Motivated by concrete financial problems, the latter representations are then applied to devise a generalization of the change of num\'eraire technique allowing to obtain recursive pricing formulas in the presence of multiple interest rates and collateralization.

Keywords

Cite

@article{arxiv.2111.08359,
  title  = {A change of measure formula for recursive conditional expectations},
  author = {Luca Di Persio and Alessandro Gnoatto and Marco Patacca},
  journal= {arXiv preprint arXiv:2111.08359},
  year   = {2022}
}

Comments

25 pages. Minor typos removed

R2 v1 2026-06-24T07:40:20.207Z