Equivalent Markov processes under gauge group
نویسندگان
چکیده
منابع مشابه
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...
متن کاملON 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.
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2015
ISSN: 1539-3755,1550-2376
DOI: 10.1103/physreve.92.052132