Local times of functions of continuous semimartingales

DOI10.1080/07362999508809392zbMath0826.60064OpenAlexW1965349099MaRDI QIDQ4835284

Youssef Ouknine, Marek Rutkowski

Publication date: 21 June 1995

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999508809392

zbMATH Keywords

occupation timesItô-Tanaka formulaEuropean put optionlocal times of functions of continuous semimartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Local time and additive functionals (60J55)

Related Items (12)

General change of variable formulas for semimartingales in one and finite dimensions ⋮ EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT ⋮ Path-wise uniqueness of solutions to stochastic differential equations with local time and sojourn time on the boundary ⋮ ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS ⋮ Balayage formula, local time and applications in stochastic differential equations ⋮ Some properties of doubly skewed CIR processes ⋮ A simple trinomial lattice approach for the skew-extended CIR models ⋮ Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model ⋮ Diffusions with rank-based characteristics and values in the nonnegative quadrant ⋮ Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale ⋮ Two Brownian particles with rank-based characteristics and skew-elastic collisions ⋮ Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• The pricing of the American option
• Généralisation d'un lemme de s. nakao et applications
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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