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Risks 2017, 5(4), 61;

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
Full-Text   |   PDF [826 KB, uploaded 21 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. View Full-Text
Keywords: standard Brownian motion; Brownian martingale; diffusion coefficient standard Brownian motion; Brownian martingale; diffusion coefficient
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Carr, P. Bounded Brownian Motion. Risks 2017, 5, 61.

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