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Use of markov process in option pricing

The Markov property dictates that the future states of a stochastic process only depend on its current state, not any previous states. In a discrete setting, this can be written as: $$\mathbb{P}(X_{n+...
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Observed rating migration matrix to derive the generator matrix

In case an answer is still useful for you after 11 months -> No, a generator matrix can be directly derived from observed rating transition data from which a transition probability matrix can be ...
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