DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
type: Item
instance of: scholarly article
title: DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
zbMATH Open document ID: 1411.91555
author: Alexander Gairat
author: Vadim Shcherbakov
published in: Mathematical Finance
publication date: 2017-10-24T00:00:00Z
full work available at URL: https://arxiv.org/abs/1407.1715
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 6797486
zbMATH Keywords: skew Brownian motion
zbMATH Keywords: local volatility model
zbMATH Keywords: displaced diffusion
zbMATH Keywords: local time
zbMATH Keywords: occupation time
zbMATH Keywords: simple random walk
zbMATH Keywords: option pricing
MaRDI profile type: Publication
OpenAlex ID: W1719887266
arXiv ID: 1407.1715
DOI: 10.1111/MAFI.12120
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description: scientific article; zbMATH DE number 6797486