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Regular admissible wealth processes are necessarily of Black-Scholes type

Journal: NEW TRENDS IN MATHEMATICAL SCIENCES (Vol.2, No. 2)

Publication Date:

Authors : ; ; ;

Page : 117-124

Keywords : Black-Scholes Option pricing Geometric Brownian motion;

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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.

Last modified: 2014-11-21 04:30:52