DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE (Q5371137)
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scientific article; zbMATH DE number 6797486
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE |
scientific article; zbMATH DE number 6797486 |
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DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE (English)
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24 October 2017
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skew Brownian motion
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local volatility model
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displaced diffusion
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local time
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occupation time
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simple random walk
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option pricing
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