Search Results - person:"Gairat, Alexander"

Extreme ATM skew in a local volatility model with discontinuity : joint density approach

Gairat, Alexander; Shcherbakov, Vadim - In: Finance and stochastics 28 (2024) 4, pp. 1179-1202

Persistent link: https://www.econbiz.de/10015130561

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

Gairat, Alexander; Shcherbakov, Vadim - arXiv.org - 2014

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.

Persistent link: https://www.econbiz.de/10011200036

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

Gairat, Alexander; Shcherbakov, Vadim - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1069-1088

Persistent link: https://www.econbiz.de/10011765020

Stock options: Dealing with discrete dividends Practitioners use at least three distinct models to deal with the issue of options on stocks with discrete dividends. How can mixtures of these models be used in a consistent way?

Bos, Remco; Gairat, Alexander; Shepeleva, Anna - In: Risk : managing risk in the world's financial markets 16 (2003) 1, pp. 109-112

Persistent link: https://www.econbiz.de/10007033989