Pages that link to "Item:Q2427806"
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The following pages link to Arbitrage in skew Brownian motion models (Q2427806):
Displaying 15 items.
- Timing in the presence of directional predictability: optimal stopping of skew Brownian motion (Q1683945) (← links)
- A simple trinomial lattice approach for the skew-extended CIR models (Q1687377) (← links)
- On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time (Q2099271) (← links)
- Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
- Discretionary stopping of stochastic differential equations with generalised drift (Q2279339) (← links)
- Asymmetric skew Bessel processes and their applications to finance (Q2571223) (← links)
- A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) (← links)
- On the local time process of a skew Brownian motion (Q5227995) (← links)
- WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS (Q5245890) (← links)
- EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT (Q5281722) (← links)
- A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (Q5384680) (← links)
- Two consistent estimators for the skew Brownian motion (Q5881039) (← links)
- Pricing American options under Azzalini Ito-McKean skew Brownian motions (Q6160632) (← links)
- HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? (Q6170144) (← links)
- Arbitrage problems with reflected geometric Brownian motion (Q6181515) (← links)
