Dergiler / New Trends in Mathematical Sciences / 2014 / Cilt: 2 Sayı: 2
Regular admissible wealth processes are necessarily of Black
- Sayfa
- 117–124
- DOI
- —
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