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Time homogeneous diffusions with a given marginal at a deterministic time

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  • Noble, John M.

Abstract

In this article, it is proved that for any probability law μ over R with finite first moment and a given deterministic time t>0, there exists a gap diffusion with law μ at the prescribed time t.

Suggested Citation

  • Noble, John M., 2013. "Time homogeneous diffusions with a given marginal at a deterministic time," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 675-718.
    • Handle: RePEc:eee:spapps:v:123:y:2013:i:3:p:675-718
    DOI: 10.1016/j.spa.2012.11.008
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    References listed on IDEAS

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    1. Forde, Martin, 2011. "A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time," Stochastic Processes and their Applications, Elsevier, vol. 121(12), pages 2802-2817.
    2. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    3. Rubinstein, Mark, 1994. "Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
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    Cited by:

    1. Peter Carr & Sergey Nadtochiy, 2017. "Local Variance Gamma And Explicit Calibration To Option Prices," Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 151-193, January.
    2. Noble, John M., 2015. "Time homogeneous diffusion with drift and killing to meet a given marginal," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1500-1540.

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