DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE

We derive the joint density of a Skew Brownian motion, its last visit to the origin, its local and occupation times. The result enables us to obtain explicit analytical formulas for pricing European options under both a two‐valued local volatility model and a displaced diffusion model with constrain...

Full description

Saved in:
Bibliographic Details
Published inMathematical finance Vol. 27; no. 4; pp. 1069 - 1088
Main Authors Gairat, Alexander, Shcherbakov, Vadim
Format Journal Article
LanguageEnglish
Published Oxford Blackwell Publishing Ltd 01.10.2017
Subjects
Online AccessGet full text

Cover

Loading…