Bounded Brownian Motion
Department of Finance and Risk Engineering, Tandon School of Engineering, NYU, 12 MetroTech Center, Brooklyn, NY 11201, USA
Academic Editor: Albert Cohen
Received: 12 February 2017 / Revised: 18 October 2017 / Accepted: 19 October 2017 / Published: 17 November 2017
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.
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Carr, P. Bounded Brownian Motion. Risks 2017, 5, 61.
Carr P. Bounded Brownian Motion. Risks. 2017; 5(4):61.
Carr, Peter. 2017. "Bounded Brownian Motion." Risks 5, no. 4: 61.
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