3
votes
Accepted
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+...
- 5,191
1
vote
Accepted
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 ...
- 26
Only top scored, non community-wiki answers of a minimum length are eligible