Regular admissible wealth processes are necessarily of Black-Scholes type

Clicks: 199
ID: 30661
2014
Article Quality & Performance Metrics
Overall Quality Improving Quality
0.0 /100
Combines engagement data with AI-assessed academic quality
AI Quality Assessment
Not analyzed
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.
Reference Key
grow2014regularnew Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Grow, David;Rohmeder, Dirk;Sanyal, Suman;
Journal new trends in mathematical sciences
Year 2014
DOI
DOI not found
URL
Keywords Keywords not found

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

No comments yet. Be the first to comment on this article.