| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9549561 | Economics Letters | 2005 | 7 Pages |
Abstract
This paper presents a methodology for deriving the closed-form density of diffusions restricted to finite intervals with reflecting or absorbing barriers. Bounded diffusions are useful, for example, in finance, resource economics, or industrial organization. Results are derived for popular diffusions.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jean-Daniel M. Saphores,