Density of Skew Brownian motion and its functionals with application in   finance
  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. 
Alexander Gairat and Vadim Shcherbakov
math.PR q-fin.MF