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...
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Published in | Mathematical finance Vol. 27; no. 4; pp. 1069 - 1088 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Oxford
Blackwell Publishing Ltd
01.10.2017
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Subjects | |
Online Access | Get full text |
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