Dergiler / New Trends in Mathematical Sciences / 2014 / Cilt: 2 Sayı: 2

Regular admissible wealth processes are necessarily of Black

Regular admissible wealth processes are necessarily of Black-Scholes type

Sayfa
117–124
DOI
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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