Weak Approximation for a Black-Scholes Type Regime Switching Model
type: Item
instance of: scholarly article
title: Weak Approximation for a Black-Scholes Type Regime Switching Model
author: Arturo Kohatsu-Higa
author: Akihiro Tanaka
published in: Applied Mathematical Finance
publication date: 2025-01-27T00:00:00Z
Mathematics Subject Classification ID: 91Gxx
zbMATH DE Number: 7975435
MaRDI profile type: Publication
cites work: Corrections: occupation and local times for skew Brownian motion with applications to dispersion across an interface
cites work: Skew disperson and continuity of local time
cites work: Exact simulation of diffusions
cites work: Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
cites work: SELF EXCITING THRESHOLD INTEREST RATES MODELS
cites work: An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
cites work: Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
cites work: A general framework to simulate diffusions with discontinuous coefficients and local times
cites work: A Markov chain approximation scheme for option pricing under skew diffusions
cites work: Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
cites work: Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift
cites work: On the weak approximation of a skew diffusion by an Euler-type scheme
cites work: DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
cites work: Q4473010
cites work: The laws of Brownian local time integrals
cites work: On skew Brownian motion
cites work: Multilayer heat equations and their solutions via oscillating integral transforms
cites work: Q4002114
cites work: The parametrix method for skew diffusions
cites work: Q3344924
cites work: On the constructions of the skew Brownian motion
cites work: An exponential timestepping algorithm for diffusion with discontinuous coefficients
cites work: Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
cites work: A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
cites work: Maximum likelihood estimator for skew Brownian motion: the convergence rate
cites work: Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
cites work: Multi-skewed Brownian motion and diffusion in layered media
cites work: Quasi-likelihood estimation of a threshold diffusion process
DOI: 10.1080/1350486X.2024.2360464
description: scientific article; zbMATH DE number 7975435