Implied Markov transition matrices under structural price models

This paper proposes an approach to compute the implied transition matrices from observations of market data on financial derivatives, when price underlying originates a structural model and payoffs are received over period time. The involves formation mechanism which computes based set Markovian inputs constrained optimization processes. developed inference method relies linear description derivative values in terms occupation measures payoff duration. We establish closed-form expressions between state transitions, then enable us characterize probabilities consistent with values. develop methods solve problem resulting nonlinear measure equation. Numerical illustrations presented for derivatives network capacities. By applying electric network, we investigate relation transmission correct contract range congestion network.