DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE. (19th May 2016)
- Record Type:
- Journal Article
- Title:
- DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE. (19th May 2016)
- Main Title:
- DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
- Authors:
- Gairat, Alexander
Shcherbakov, Vadim - Abstract:
- Abstract: We derive the joint density of a Skew Brownian motion, its last visit to the origin, its local and occupation times. The result enables us to obtain explicit analytical formulas for pricing European options under both a two‐valued local volatility model and a displaced diffusion model with constrained volatility.
- Is Part Of:
- Mathematical finance. Volume 27:Number 4(2017:Oct.)
- Journal:
- Mathematical finance
- Issue:
- Volume 27:Number 4(2017:Oct.)
- Issue Display:
- Volume 27, Issue 4 (2017)
- Year:
- 2017
- Volume:
- 27
- Issue:
- 4
- Issue Sort Value:
- 2017-0027-0004-0000
- Page Start:
- 1069
- Page End:
- 1088
- Publication Date:
- 2016-05-19
- Subjects:
- Skew Brownian motion -- local volatility model -- displaced diffusion -- local time -- occupation time -- simple random walk -- option pricing
Business mathematics -- Periodicals
332 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9965 ↗
http://www.blackwellpublishers.co.uk/online ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/mafi.12120 ↗
- Languages:
- English
- ISSNs:
- 0960-1627
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 5401.975000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 4696.xml