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Density of Skew Brownian motion and its functionals with application in finance

We derive the joint density of a Skew Brownian motion, its last visit to the origin, local and occupation times. The result is applied to option pricing in a two valued local volatility model and in a displaced diffusion model with constrained volatility.
Year of publication:
2014-07
Authors: Gairat, Alexander ; Shcherbakov, Vadim
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10011200036
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