Fake exponential Brownian motion

DOI10.1016/j.spl.2013.06.030zbMath1293.60079arXiv1210.1391OpenAlexW2027568010MaRDI QIDQ2435766

David G. Hobson

Publication date: 19 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.1391

zbMATH Keywords

exponential Brownian motionDupire's formulafake diffusion

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (4)

Faking Brownian motion with continuous Markov martingales ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ The Markov-quantile process attached to a family of marginals ⋮ From Bachelier to Dupire via optimal transport

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Peacocks and associated martingales, with explicit constructions
• Making Markov martingales meet marginals: With explicit constructions
• On fake Brownian motions
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Some inequalities with local times in zero of a Brownian motion
• Option price when the stock is a semimartingale
• A family of non-Gaussian martingales with Gaussian marginals
• A continuous non-Brownian motion martingale with Brownian motion marginal distributions
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• Mean stochastic comparison of diffusions
• Smooth Transition Densities for One-Dimensional Diffusions
• DUPIRE'S EQUATION FOR BUBBLES
• The Existence of Certain Stopping Times on Brownian Motion

This page was built for publication: Fake exponential Brownian motion