A Change of Measure Formula for Recursive Conditional Expectations

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 numéraire technique allowing to obtain recursive pricing formulas in the presence of multiple interest rates and collateralization

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Year of publication:	[2021]
Authors:	Di Persio, Luca ; Gnoatto, Alessandro ; Patacca, Marco
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Erwartungsbildung \| Expectation formation \| Messung \| Measurement \| Stochastischer Prozess \| Stochastic process

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