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

Published 7 Jul 2014 in math.PR and q-fin.MF | (1407.1715v3)

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.

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