Bounded brownian motion

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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Year of publication:	2017
Authors:	Carr, Peter
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 5.2017, 4, p. 1-24
Publisher:	Basel : MDPI
Subject:	standard Brownian motion \| Brownian martingale \| diffusion coefficient

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks5040061 [DOI] 1011882272 [GVK] hdl:10419/195790 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011996556