Regular admissible wealth processes are necessarily of Black-Scholes type
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2014
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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.
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| Authors | Grow, David;Rohmeder, Dirk;Sanyal, Suman; |
| Journal | new trends in mathematical sciences |
| Year | 2014 |
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| Keywords | Keywords not found |
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