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arXiv · 1407.1715

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

Alexander Gairat·Vadim Shcherbakov
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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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Alexander Gairat, Vadim Shcherbakov. 2015-03-11. Density of Skew Brownian motion and its functionals with application in finance. https://arxiv.org/abs/1407.1715

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