Bounded Brownian Motion
AbstractDiffusions 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. View Full-Text
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Carr, P. Bounded Brownian Motion. Risks 2017, 5, 61.
Carr P. Bounded Brownian Motion. Risks. 2017; 5(4):61.Chicago/Turabian Style
Carr, Peter. 2017. "Bounded Brownian Motion." Risks 5, no. 4: 61.
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