Pages that link to "Item:Q5371137"
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The following pages link to DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE (Q5371137):
Displaying 30 items.
- The parametrix method for skew diffusions (Q309004) (← links)
- Pricing double barrier options under a volatility regime-switching model with psychological barriers (Q1627631) (← links)
- A simple trinomial lattice approach for the skew-extended CIR models (Q1687377) (← links)
- Density symmetries for a class of 2-D diffusions with applications to finance (Q1713463) (← links)
- Limit theorems for local and occupation times of random walks and Brownian motion on a spider (Q1721917) (← links)
- On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time (Q2099271) (← links)
- On transition density functions of skew Brownian motions with two-valued drift (Q2105383) (← links)
- Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations (Q2141576) (← links)
- Multilayer heat equations and their solutions via oscillating integral transforms (Q2145027) (← links)
- An exponential timestepping algorithm for diffusion with discontinuous coefficients (Q2222463) (← links)
- On the transition density and first hitting time distributions of the doubly skewed CIR process (Q2241619) (← links)
- Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
- Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited (Q2295037) (← links)
- Strategic real options (Q2324805) (← links)
- Skew Brownian motion with dry friction: joint density approach (Q2670796) (← links)
- “Skew-Brownian Motion” and Derived Processes (Q3212090) (← links)
- A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) (← links)
- Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients (Q5197539) (← links)
- EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT (Q5281722) (← links)
- A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (Q5384680) (← links)
- On the convergence order of a binary tree approximation of symmetrized diffusion processes (Q6108197) (← links)
- Pricing American options under Azzalini Ito-McKean skew Brownian motions (Q6160632) (← links)
- HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? (Q6170144) (← links)
- Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations (Q6185131) (← links)
- Modified trajectory fitting estimators for multi-regime threshold Ornstein-Uhlenbeck processes (Q6548880) (← links)
- Forecasting portfolio returns with skew-geometric Brownian motions (Q6580728) (← links)
- Extreme ATM skew in a local volatility model with discontinuity: joint density approach (Q6619592) (← links)
- On some asymptotic expansions of skew diffusions (Q6630462) (← links)
- Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes (Q6633190) (← links)
- Weak Approximation for a Black-Scholes Type Regime Switching Model (Q6671994) (← links)
