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

Alexander Gairat and Vadim Shcherbakov

Papers from arXiv.org

Abstract: 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.

Date: 2014-07, Revised 2015-03
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1407.1715

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