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Fake exponential Brownian motion |
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| Authors: | David G Hobson |
| Institution: | University of Warwick, Coventry CV4 7AL, UK |
| Abstract: | We construct a fake exponential Brownian motion, a continuous martingale different from classical exponential Brownian motion but with the same marginal distributions, thus extending results of Albin and Oleszkiewicz for fake Brownian motions. The ideas extend to other diffusions. |
| Keywords: | Fake diffusion Exponential Brownian motion Dupire’s formula |
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