Skew Brownian Motion and Pricing European Options
By T. Corns, Stephen E. Satchell. 2007
63 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7bda4ab9a2bb2906356ce685662f9fa4f346bef2
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Nicola Maria Rinaldo Loperfido
- C. Adcock
- Martin Eling
- Andreas Kleefeld
- R. Faust
- M. Delignette-Muller
- Vytaras Brazauskas
- Christophe Dutang
In Finance
- Nicola Maria Rinaldo Loperfido
- C. Adcock
- Martin Eling
- R. Faust
- Adelchi Azzalini
- Andreas Kleefeld
- M. Delignette-Muller
- Vytaras Brazauskas
Citations in the corpus
- Skewed distributions in finance and actuarial science: a review (2015, background): “Corns and Satchell (2007) present an option pricing model based on skew-Brownian motion.”