Equivalent Markov processes under gauge group

Continuously Monitored Barrier Options under Markov Processes

In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given Markov model. We illustrate the method by implementing it for a range of models, including a local Lévy process and a local volatility jump-diffusion. We also pro...

ON THE INFINITE ORDER MARKOV PROCESSES

The notion of infinite order Markov process is introduced and the Markov property of the flow of information is established.

The KTH Visit in Semi-Markov Processes

q-Markov covariance equivalent realizations

A General Framework for Pricing Asian Options Under Markov Processes