Arbitrage in skew Brownian motion models
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DOI: 10.1016/j.insmatheco.2011.10.004
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References listed on IDEAS
- T. R. A. Corns & S. E. Satchell, 2007. "Skew Brownian Motion and Pricing European Options," The European Journal of Finance, Taylor & Francis Journals, vol. 13(6), pages 523-544.
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Cited by:
- Antoine Lejay & Paolo Pigato, 2019.
"A Threshold Model For Local Volatility: Evidence Of Leverage And Mean Reversion Effects On Historical Data,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-24, June.
- Antoine Lejay & Paolo Pigato, 2017. "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Papers 1712.08329, arXiv.org, revised Feb 2019.
- Antoine Lejay & Paolo Pigato, 2019. "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Post-Print hal-01669082, HAL.
- Paolo Pigato, 2019. "Extreme at-the-money skew in a local volatility model," Finance and Stochastics, Springer, vol. 23(4), pages 827-859, October.
- Hussain, Sultan & Arif, Hifsa & Noorullah, Muhammad & Pantelous, Athanasios A., 2023. "Pricing American Options under Azzalini Ito-McKean Skew Brownian Motions," Applied Mathematics and Computation, Elsevier, vol. 451(C).
- Antoine Lejay & Paolo Pigato, 2017. "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Working Papers hal-01669082, HAL.
- Alexis Anagnostakis, 2023. "Pricing and hedging for a sticky diffusion," Papers 2311.17011, arXiv.org, revised Jan 2024.
- Jun Maeda & Saul D. Jacka, 2017. "An Optimal Stopping Problem Modeling Technical Analysis," Papers 1707.05253, arXiv.org, revised Mar 2020.
- Pasricha, Puneet & He, Xin-Jiang, 2022. "Skew-Brownian motion and pricing European exchange options," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Xiaoyang Zhuo & Olivier Menoukeu-Pamen, 2017. "Efficient Piecewise Trees For The Generalized Skew Vasicek Model With Discontinuous Drift," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-34, June.
- 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.
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Keywords
Skew Brownian motion; Semimartingale; Asymmetric returns; No free lunch with vanishing risk; No arbitrage; Absolute continuity;All these keywords.
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