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Density Of Skew Brownian Motion And Its Functionals With Application In Finance

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  • Alexander Gairat
  • Vadim Shcherbakov

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  • Alexander Gairat & Vadim Shcherbakov, 2017. "Density Of Skew Brownian Motion And Its Functionals With Application In Finance," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1069-1088, October.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:4:p:1069-1088
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-4
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    Citations

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    Cited by:

    1. Paolo Pigato, 2019. "Extreme at-the-money skew in a local volatility model," Finance and Stochastics, Springer, vol. 23(4), pages 827-859, October.
    2. Alexander Gairat & Vadim Shcherbakov, 2024. "Extreme ATM skew in a local volatility model with discontinuity: joint density approach," Finance and Stochastics, Springer, vol. 28(4), pages 1179-1202, October.
    3. Endre Csáki & Miklós Csörgő & Antónia Földes & Pál Révész, 2019. "Limit Theorems for Local and Occupation Times of Random Walks and Brownian Motion on a Spider," Journal of Theoretical Probability, Springer, vol. 32(1), pages 330-352, March.
    4. Li, Dan & Liu, Lixin & Xu, Guangli, 2023. "Psychological barriers and option pricing in a local volatility model," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    5. Lou, Shuwen, 2023. "On transition density functions of skew Brownian motions with two-valued drift," Statistics & Probability Letters, Elsevier, vol. 193(C).
    6. Zaniar Ahmadi & Xiaowen Zhou, 2024. "A note on Skew Brownian Motion with two-valued drift and an application," Papers 2407.09321, arXiv.org, revised Nov 2024.
    7. Guangli Xu & Xingchun Wang, 2021. "On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 735-752, September.
    8. Akahori, Jirô & Fan, Jie Yen & Imamura, Yuri, 2023. "On the convergence order of a binary tree approximation of symmetrized diffusion processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 211(C), pages 263-277.
    9. Gairat, Alexander & Shcherbakov, Vadim, 2022. "Skew Brownian motion with dry friction: Joint density approach," Statistics & Probability Letters, Elsevier, vol. 187(C).
    10. Yizhou Bai & Zhiyu Guo, 2019. "An Empirical Investigation to the “Skew” Phenomenon in Stock Index Markets: Evidence from the Nikkei 225 and Others," Sustainability, MDPI, vol. 11(24), pages 1-17, December.
    11. Alexander Gairat & Vadim Shcherbakov, 2023. "Extreme ATM skew in a local volatility model with discontinuity: joint density approach," Papers 2305.10849, arXiv.org, revised May 2024.
    12. Pasricha, Puneet & He, Xin-Jiang, 2022. "Skew-Brownian motion and pricing European exchange options," International Review of Financial Analysis, Elsevier, vol. 82(C).
    13. Kolb, Aaron M., 2019. "Strategic real options," Journal of Economic Theory, Elsevier, vol. 183(C), pages 344-383.
    14. Che Guo & Xingchun Wang, 2022. "Pricing vulnerable options under correlated skew Brownian motions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 852-867, May.

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