Density of Skew Brownian motion and its functionals with application in finance
Alexander Gairat, Vadim Shcherbakov
| Year of publication: |
October 2017
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| Authors: | Gairat, Alexander ; Shcherbakov, Vadim |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 4, p. 1069-1088
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| Subject: | Skew Brownian motion | local volatility model | displaced diffusion | local time | occupation time | simple random walk | option pricing | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Random Walk | Random walk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12120 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011765020