Bounded Brownian Motion
Peter Carr ()
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Peter Carr: Department of Finance and Risk Engineering, Tandon School of Engineering, NYU, 12 MetroTech Center, Brooklyn, NY 11201, USA
Risks, 2017, vol. 5, issue 4, 1-11
Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure. We provide a simple example of a tractable driftless diffusion which also has a bounded state space.
Keywords: standard Brownian motion; Brownian martingale; diffusion coefficient (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 M2 M4 K2 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:5:y:2017:i:4:p:61-:d:119375
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