Density of Skew Brownian motion and its functionals with application in finance
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 | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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