Risks (Nov 2017)

Bounded Brownian Motion

  • Peter Carr

DOI
https://doi.org/10.3390/risks5040061
Journal volume & issue
Vol. 5, no. 4
p. 61

Abstract

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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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