Density of Skew Brownian motion and its functionals with application in finance. / Gairat, Alexander; Shcherbakov, Vadim.

In: Mathematical Finance, Vol. 27, No. 4, 10.2017, p. 1069-1088.

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Density of Skew Brownian motion and its functionals with application in finance. / Gairat, Alexander; Shcherbakov, Vadim.

In: Mathematical Finance, Vol. 27, No. 4, 10.2017, p. 1069-1088.

Research output: Contribution to journalArticlepeer-review

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Gairat, Alexander ; Shcherbakov, Vadim. / Density of Skew Brownian motion and its functionals with application in finance. In: Mathematical Finance. 2017 ; Vol. 27, No. 4. pp. 1069-1088.

BibTeX

@article{a49bb492dc744bb880a65aaf27af2b4f,
title = "Density of Skew Brownian motion and its functionals with application in finance",
abstract = "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 constrained volatility.",
keywords = "Skew Brownian motion, local volatility model, displaced diffusion, local time, occupation time, simple random walk, option pricing",
author = "Alexander Gairat and Vadim Shcherbakov",
year = "2017",
month = oct,
doi = "10.1111/mafi.12120",
language = "English",
volume = "27",
pages = "1069--1088",
journal = "Mathematical Finance",
issn = "1467-9965",
publisher = "Wiley-Blackwell",
number = "4",

}

RIS

TY - JOUR

T1 - Density of Skew Brownian motion and its functionals with application in finance

AU - Gairat, Alexander

AU - Shcherbakov, Vadim

PY - 2017/10

Y1 - 2017/10

N2 - 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 constrained volatility.

AB - 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 constrained volatility.

KW - Skew Brownian motion, local volatility model, displaced diffusion, local time, occupation time, simple random walk, option pricing

U2 - 10.1111/mafi.12120

DO - 10.1111/mafi.12120

M3 - Article

VL - 27

SP - 1069

EP - 1088

JO - Mathematical Finance

JF - Mathematical Finance

SN - 1467-9965

IS - 4

ER -