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Bounded Brownian Motion

Name: Bounded Brownian Motion
Creator: Carr, Peter
Keywords: Insurance, standard Brownian motion; Brownian martingale; diffusion coefficient, ddc:330, Brownian martingale, HG8011-9999, 0502 economics and business, 05 social sciences, diffusion coefficient, 0101 mathematics, standard Brownian motion

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 17 Nov 2017 English Publisher:MDPI AGJournal:Risks, volume 5, page 61 (eissn: 2227-9091,

Authors: Carr, Peter;

doi: 10.3390/risks5040061

handle: 10419/195790

Bounded Brownian Motion

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Abstract

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.

Keywords

Insurance, standard Brownian motion; Brownian martingale; diffusion coefficient, ddc:330, Brownian martingale, HG8011-9999, diffusion coefficient, standard Brownian motion

Impact byBIP!

	citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	12
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Top 10%
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 10%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 10%

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Top 10%

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