Density of Skew Brownian motion and its functionals with application in finance
Probability
2015-03-13 v3 Mathematical Finance
Abstract
We derive the joint density of a Skew Brownian motion, its last visit to the origin, local and occupation times. The result is applied to option pricing in a two valued local volatility model and in a displaced diffusion model with constrained volatility.
Keywords
Cite
@article{arxiv.1407.1715,
title = {Density of Skew Brownian motion and its functionals with application in finance},
author = {Alexander Gairat and Vadim Shcherbakov},
journal= {arXiv preprint arXiv:1407.1715},
year = {2015}
}
Comments
1 section and two figures are added