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We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We m...
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...
This paper proposes saddlepoint expansions as a means to generate closed-form approximations to the transition densities and cumulative distribution functions of Markov processes. This method is appli...

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