Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195790 
Authors: 
Year of Publication: 
2017
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 5 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2017 [Pages:] 1-24
Publisher: 
MDPI, Basel
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.
Subjects: 
standard Brownian motion
Brownian martingale
diffusion coefficient
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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