DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
From MaRDI portal
Publication:5371137
DOI10.1111/mafi.12120zbMath1411.91555arXiv1407.1715OpenAlexW1719887266MaRDI QIDQ5371137
Alexander Gairat, Vadim Shcherbakov
Publication date: 24 October 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.1715
option pricinglocal timesimple random walkoccupation timeskew Brownian motiondisplaced diffusionlocal volatility model
Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (23)
EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT ⋮ Pricing double barrier options under a volatility regime-switching model with psychological barriers ⋮ Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ The parametrix method for skew diffusions ⋮ Multilayer heat equations and their solutions via oscillating integral transforms ⋮ Skew Brownian motion with dry friction: joint density approach ⋮ A simple trinomial lattice approach for the skew-extended CIR models ⋮ Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model ⋮ On the convergence order of a binary tree approximation of symmetrized diffusion processes ⋮ Pricing American options under Azzalini Ito-McKean skew Brownian motions ⋮ HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? ⋮ Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations ⋮ Limit theorems for local and occupation times of random walks and Brownian motion on a spider ⋮ A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA ⋮ An exponential timestepping algorithm for diffusion with discontinuous coefficients ⋮ On the transition density and first hitting time distributions of the doubly skewed CIR process ⋮ Extreme at-the-money skew in a local volatility model ⋮ Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients ⋮ Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited ⋮ A Markov chain approximation scheme for option pricing under skew diffusions ⋮ Strategic real options ⋮ On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time ⋮ On transition density functions of skew Brownian motions with two-valued drift
This page was built for publication: DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
