Regular admissible wealth processes are necessarily of Black-Scholes type
Journal: NEW TRENDS IN MATHEMATICAL SCIENCES (Vol.2, No. 2)Publication Date: 2014-09-30
Authors : David Grow; Dirk Rohmeder; Suman Sanyal;
Page : 117-124
Keywords : Black-Scholes Option pricing Geometric Brownian motion;
Abstract
We show that for a complete market where the stock price uncertainty is driven by a Brownian motion, there exists only one admissible wealth process which is a regular deterministic function of the time and the stock price. In particular, if the stock price is modeled by geometric Brownian motion then the Black-Scholes process is the only regular admissible wealth process.
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Last modified: 2014-11-21 04:30:52