2 papers
q-fin.CP2024
Estimation of domain truncation error for a system of PDEs arising in option pricing
Anindya Goswami, Kuldip Singh Patel
In this paper, a multidimensional system of parabolic partial differential equations arising in European option pricing under a regime-switching market model is studied in details.…
math.PR2022
Semimartingle Representation of a class of Semi-Markov Dynamics
Anindya Goswami, Subhamay Saha, Ravishankar Kapildev Yadav
We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented a…